pythoninterestrates

Tool set intended to support fitting and simulating complex interest rate environments.

interest_rate_instruments

Contains instruments, e.g. fixed coupon bonds, floating rate bonds and swaps.

interest_rate_utilities

Contains utilities used throughout fitting process

shortrate_model_vasicek

First interest model -- based on Vasicek stochastic ODE

curve constructor

Implements exact methods for fitting zero coupon bond enviroment