Rateslib
Rateslib is a state-of-the-art fixed income library designed for Python. Its purpose is to provide advanced, flexible and efficient fixed income analysis with a high level, well documented API.
This software and code is not freely licensed for use by employees in commercial entities or for any commercial purposes. For those cases a licence extension is required. Rateslib is freely licensed for academic and at-home educational use.
infoStockholm Kungsgatan@rateslib.com.
Tools & Codebases
rateslib is the main library for Python.
rateslib-rs is the lower level codebase written in Rust, with PyO3 bindings, providing performant solutions for some of the Python classes and methods.
rateslib-js allows integration with JavaScript/TypeScript via PyOdide, which is a Python interpreter for web browsers. The demo page gives a browser build where the code is shown in source, and integrates with Vue.js. Also see this LinkedIn article example.
Books & Resources
The @rateslib YouTube channel shows content how to apply rateslib-excel and build effective dashboards with PV, pricing and risk metrics.
The GitHub page for rateslib allows issues to be filed and pull requests to be raised.
Pricing and Trading Interest Rate Derivatives: A Practical Guide to Swaps was first released in 2016, now in its 3rd edition as of 2022. Frequently found on the desks of market-makers and fixed income portfolio managers, this book has sold over 5000 copies and been praised for its down-to-earth, but no compromise, approach to educating the various aspects of linear fixed income trading.
Rateslib LinkedIn often posts updates on the state and direction of rateslib, and occasionally more in depth, technical articles on the performance and architecture of its codebase.