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-excel provides Excel bindings for the Python library, to users
with a commercial licence extension.
rateslib-rs is the lower level codebase written in Rust, with PyO3 bindings,
providing performant solutions for some of the Python classes and methods.
Books & Resources
Coding Interest Rates: FX, Swaps and Bonds documents the mathematical algorithms and
computational architecture of rateslib
up until the v1.0 release, which was a pure Python release with no Rust extensions.
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.