Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics

Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics

A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change

DRIP Fixed Income is a collection of Java libraries for Instrument/Trading Conventions, Treasury Futures/Options, Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.

A Python Finance Library that covers Pricing, Risk and Asset Allocation

Python class and jupyter iPython notebook for pricing a fixed coupon bond

Basic package for fitting yield-curves and other things.

Standardised Bloomberg Fixed Income Processing

Python script for calculating the spread risk solvency capital charge ("SCR") for a bond portfolio under Solvency II (along the standard formula)

Models for Fixed Income instruments pricing

A python library for modeling and analyzing fixed income securities

US Treasuries Yield Curve Data

Financial risks of bonds

QLDDS - Data Distribution Service for QuantLib

Random array of scripts to price securities, analyse market data, etc..

Open Source Trading Platform

A Rust crate for fast fixed-income calculations

Open source