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JHM Darbyshire (@attack68)

attack68

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book_irds3

Code repository for Pricing and Trading Interest Rate Derivatives

Jupyter Notebook

rateslib

A fixed income library for pricing bonds and bond futures, and derivatives such as IRS, cross-currency and FX swaps. Contains tools for full Curveset construction with market standard optimisers and automatic differention (AD) and risk sensitivity calculations including delta and cross-gamma.