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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 wit...
Created
2023-03-31
1,004 commits to main branch, last one a day ago
Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics
Created
2017-08-31
2,200 commits to master branch, last one 2 days ago