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swaps

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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 differentiaton (AD) and risk sensitivity calculations including delta and cross-gamma.

  • Updated Jun 15, 2025
  • Python

cot_reports is a Python library for fetching the Commitments of Trader reports of the Commodity Futures Trading Commission (CFTC). The following COT reports are supported: Legacy Futures-only, Legacy Futures-and-Options Combined, Supplemental Futures-and-Options Combined, Disaggregated Futures-only, Disaggregated Futures-and-Options Combined, Tr…

  • Updated Apr 6, 2024
  • Python

REST API for QuantLib. This project aims to simplify the development of microservices for risk management and pricing of various financial instruments in the distributed environment using QuantLib

  • Updated May 15, 2025
  • C++

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