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attack68/rateslib

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.

rateslib
Python PyPi Conda Licence Status Coverage Code Style

Rateslib

Rateslib is a state-of-the-art fixed income library designed for Python.
Its purpose is to provide advanced, flexible and efficient fixed income analysis
with a high level, well documented API.

The techniques and object interaction within rateslib were inspired by
the requirements of multi-disciplined fixed income teams working, both cooperatively
and independently, within global investment banks.

Licence

This library is released under specific Dual Licensing Terms - Source-Available Non-Commercial Licence
and Commercial Subscription Licence. See latest licence

This project is source-available, not open source. Commercial use requires a paid licence.

Get Started

Read the documentation at
rateslib.com/py

Contributors

Other
Created March 31, 2023
Updated March 9, 2026
attack68/rateslib | GitHunt