A comprehensive repository for fixed income analytics, yield curve construction, and interest rate models implementation in Python.

This repository provides tools and implementations for:

• Yield Curve Construction- (Bootstrapping, Nelson-Siegel, Svensson)
• Interest Rate Models- (Vasicek, Cox-Ingersoll-Ross, Hull-White, Black-Derman-Toy)
• Fixed Income Analytics- (Duration, Convexity, Bond Pricing, Forward Rates)
• Risk Metrics- (DV01, Key Rate Duration)

Designed for quantitative analysts, researchers, and financial engineers working with fixed income securities.

Ref:

Hull, J.C. (2022). Options, Futures, and Other Derivatives Tuckman, B., & Serrat, A. (2021). Fixed Income Securities Nelson, C.R., & Siegel, A.F. (1987). Parsimonious Modeling of Yield Curves