fixedincome

Fixed Income Models, Calculations, Data Structures and Instruments

Last update: 30 June 2023

Software version identifier: 0.0.1, 0.0.2, 0.0.3, 0.0.4, 0.0.5

Copyright license: MIT license, File License

Fixed income mathematics made easy. A rich set of functions that helps with calculations of interest rates and fixed income. It has objects that abstract interest rates, compounding factors, day count rules, forward rates and term structure of interest rates. Many interpolation methods and parametric curve models commonly used by practitioners are implemented.