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Open Graph Title: attack68/rateslib

X Title: attack68/rateslib

Description: A fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) and FX swaps. Contains tools for full curveset construction with market standard optimisers and automatic differentiation (AD) and risk sensitivity calculations including delta and cross-gamma. - attack68/rateslib

Open Graph Description: A fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) and FX swaps. Contains tools for full curveset construction ...

X Description: A fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) and FX swaps. Contains tools for full curveset construction ...

Opengraph URL: https://github.com/attack68/rateslib

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ERRATA: "Coding Interest Rates: FX Swaps and Bonds" (edition 1)https://github.com/attack68/rateslib/issues/322
attack68https://github.com/attack68
ERRATA: "Coding Interest Rates: FX, Swaps and Bonds" (edition 2)https://github.com/attack68/rateslib/issues/1050
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Idea: a Transaction class for registering trades for a book keeping perspective?https://patch-diff.githubusercontent.com/attack68/rateslib/issues/1202
mikelynchttps://patch-diff.githubusercontent.com/attack68/rateslib/issues?q=is%3Aissue%20state%3Aopen%20author%3Amikelync
Sort calendar combinations to improve cached combinations?https://patch-diff.githubusercontent.com/attack68/rateslib/issues/1193
enhancementNew feature or requesthttps://patch-diff.githubusercontent.com/attack68/rateslib/issues?q=is%3Aissue%20state%3Aopen%20label%3Aenhancement
schedulinghttps://patch-diff.githubusercontent.com/attack68/rateslib/issues?q=is%3Aissue%20state%3Aopen%20label%3Ascheduling
attack68https://patch-diff.githubusercontent.com/attack68/rateslib/issues?q=is%3Aissue%20state%3Aopen%20author%3Aattack68
SPEC: no_gbb go T+1 settle in 2027, currently T+2https://patch-diff.githubusercontent.com/attack68/rateslib/issues/1172
on holdhttps://patch-diff.githubusercontent.com/attack68/rateslib/issues?q=is%3Aissue%20state%3Aopen%20label%3A%22on%20hold%22
securitieshttps://patch-diff.githubusercontent.com/attack68/rateslib/issues?q=is%3Aissue%20state%3Aopen%20label%3Asecurities
attack68https://patch-diff.githubusercontent.com/attack68/rateslib/issues?q=is%3Aissue%20state%3Aopen%20author%3Aattack68
ENH: Frequency.Months.IMM should extend to IMM definitionshttps://patch-diff.githubusercontent.com/attack68/rateslib/issues/1144
schedulinghttps://patch-diff.githubusercontent.com/attack68/rateslib/issues?q=is%3Aissue%20state%3Aopen%20label%3Ascheduling
attack68https://patch-diff.githubusercontent.com/attack68/rateslib/issues?q=is%3Aissue%20state%3Aopen%20author%3Aattack68
BUG: NDIRS calendar can forecast from left pipe but settle against right pipehttps://patch-diff.githubusercontent.com/attack68/rateslib/issues/1133
bugSomething isn't workinghttps://patch-diff.githubusercontent.com/attack68/rateslib/issues?q=is%3Aissue%20state%3Aopen%20label%3Abug
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schedulinghttps://patch-diff.githubusercontent.com/attack68/rateslib/issues?q=is%3Aissue%20state%3Aopen%20label%3Ascheduling
mikelynchttps://patch-diff.githubusercontent.com/attack68/rateslib/issues?q=is%3Aissue%20state%3Aopen%20author%3Amikelync
BUG: FXOption does not price forward or settlement within ratehttps://patch-diff.githubusercontent.com/attack68/rateslib/issues/1131
bugSomething isn't workinghttps://patch-diff.githubusercontent.com/attack68/rateslib/issues?q=is%3Aissue%20state%3Aopen%20label%3Abug
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fxhttps://patch-diff.githubusercontent.com/attack68/rateslib/issues?q=is%3Aissue%20state%3Aopen%20label%3Afx
volatilityhttps://patch-diff.githubusercontent.com/attack68/rateslib/issues?q=is%3Aissue%20state%3Aopen%20label%3Avolatility
attack68https://patch-diff.githubusercontent.com/attack68/rateslib/issues?q=is%3Aissue%20state%3Aopen%20author%3Aattack68
IRVolCube designhttps://patch-diff.githubusercontent.com/attack68/rateslib/issues/1099
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volatilityhttps://patch-diff.githubusercontent.com/attack68/rateslib/issues?q=is%3Aissue%20state%3Aopen%20label%3Avolatility
iamorlandohttps://patch-diff.githubusercontent.com/attack68/rateslib/issues?q=is%3Aissue%20state%3Aopen%20author%3Aiamorlando
ERRATA: "Coding Interest Rates: FX, Swaps and Bonds" (edition 2)https://patch-diff.githubusercontent.com/attack68/rateslib/issues/1050
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attack68https://patch-diff.githubusercontent.com/attack68/rateslib/issues?q=is%3Aissue%20state%3Aopen%20author%3Aattack68
BUG: IBOR rate method does not account for EOMhttps://patch-diff.githubusercontent.com/attack68/rateslib/issues/1032
bugSomething isn't workinghttps://patch-diff.githubusercontent.com/attack68/rateslib/issues?q=is%3Aissue%20state%3Aopen%20label%3Abug
curveshttps://patch-diff.githubusercontent.com/attack68/rateslib/issues?q=is%3Aissue%20state%3Aopen%20label%3Acurves
schedulinghttps://patch-diff.githubusercontent.com/attack68/rateslib/issues?q=is%3Aissue%20state%3Aopen%20label%3Ascheduling
attack68https://patch-diff.githubusercontent.com/attack68/rateslib/issues?q=is%3Aissue%20state%3Aopen%20author%3Aattack68
DOC: document Curve calendar and convention - how it is used to forecast FloatPeriod fixings.https://patch-diff.githubusercontent.com/attack68/rateslib/issues/924
curveshttps://patch-diff.githubusercontent.com/attack68/rateslib/issues?q=is%3Aissue%20state%3Aopen%20label%3Acurves
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mikelynchttps://patch-diff.githubusercontent.com/attack68/rateslib/issues?q=is%3Aissue%20state%3Aopen%20author%3Amikelync
DOC: document creating an FXRates array with float or with Dual for purpose of immediate rates.https://patch-diff.githubusercontent.com/attack68/rateslib/issues/878
documentationImprovements or additions to documentationhttps://patch-diff.githubusercontent.com/attack68/rateslib/issues?q=is%3Aissue%20state%3Aopen%20label%3Adocumentation
fxhttps://patch-diff.githubusercontent.com/attack68/rateslib/issues?q=is%3Aissue%20state%3Aopen%20label%3Afx
attack68https://patch-diff.githubusercontent.com/attack68/rateslib/issues?q=is%3Aissue%20state%3Aopen%20author%3Aattack68
DOC: Use Marimo for Interactivity within notebooks?https://patch-diff.githubusercontent.com/attack68/rateslib/issues/832
documentationImprovements or additions to documentationhttps://patch-diff.githubusercontent.com/attack68/rateslib/issues?q=is%3Aissue%20state%3Aopen%20label%3Adocumentation
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