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  • Get Started
  • Licence
  • User Guide
  • About
  • API Reference
  • Release Notes
  • Developers
  • Purchasing Licence Extensions
  • Supplemental

Section Navigation

  • Defaults
    • Calendars
      • NYC Calendar
      • FED Calendar
      • TGT Calendar
      • LDN Calendar
      • ZUR Calendar
      • STK Calendar
      • OSL Calendar
      • TRO Calendar
      • TYO Calendar
      • SYD Calendar
      • WLG Calendar
      • MUM Calendar
    • IRS
    • XCS
    • CDS
    • SBS
    • FRA
    • FixedRateBond
    • BondFuture
    • Bill
    • STIR Futures
    • ZCIS
  • FX
    • FX Spot Rates
    • FX Forward Rates
  • Instruments
    • Periods
    • Legs
    • Securities
    • Single Currency Derivatives
    • Multi-Currency Derivatives
    • FX Volatility
    • Utilities and Instrument Combinations
  • Constructing Pricing Objects
    • Curves
    • Solver
    • FX Vol Smiles & Surfaces
  • Risk Sensitivity
    • Delta Risk
    • Gamma Risk
  • Scheduling
    • Calendars
    • Schedule
    • Day count fractions (DCFs)
  • Utilities
    • Piecewise Polynomial Splines
    • Dual Numbers
    • Serialization
  • Cookbook
    • Replicating the Single Currency Curve in Pricing and Trading Interest Rate Derivatives
    • Building a Conventional Par Tenor Based SOFR Curve
    • Solving Curves with a Dependency Chain
    • How to Handle Turns in Rateslib
    • Comparing Curve Building and Instrument Pricing with QuantLib
    • Constructing Curves from (CC) Zero Rates
    • Multicurve Framework Construction
    • Brazil’s Bus252 Convention and Curve Calibration
    • Building Custom Curves (Nelson-Siegel)
    • Replicating a Pfizer Default Curve & CDS
    • Comparing Surface Interpolation for FX Options
    • FX Volatility Surface Temporal Interpolation
    • A EURUSD market for IRS, cross-currency and FX volatility
    • Understanding and Customising FixedRateBond Conventions
    • Using Curves with an Index and Inflation Instruments
    • Inflation Indexes and Curves 2 (Quantlib comparison)
    • Pricing IBOR Interpolated Stub Periods
    • Working with Fixings
    • Valuing Historical Swaps at Today’s Date
    • Applying Amortization to Instruments
    • Configuring Cross-Currency Swaps - is it USDCAD or CADUSD?
    • Building a Risk Framework Including STIR Convexity Adjustments
    • Exploring Bond Basis and Bond Futures DV01
    • Bond Future CTD Multi-Scenario Analysis
    • What are Exogenous Variables and Exogenous Sensitivities?
    • Another Example of an Exogenous Variable (SABR’s Beta)
    • Fixings Exposures and Reset Ladders
    • MultiCsaCurves have discontinuous derivatives
  • Advanced Concepts
    • Pricing Mechanisms
    • Mutability
  • Coverage
  • User Guide
  • Utilities

Utilities#

The modules below are utility modules that provide underlying functionality to the instruments and curves modules.

Contents:

  • Piecewise Polynomial Splines
  • Dual Numbers
  • Serialization

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Day count fractions (DCFs)

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Piecewise Polynomial Splines

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