Skip to main content

Functions for fixed-income pricing and risk management

Project description

This module has been created to provide functions that are useful in pricing and risk management of fixed-income securities. The goal is to break-down complex quantitative financial calculations into easy-to-understand functions as much as possible.

To begin with, there are two functions:

duration: calculates the Macaulay and Modified Durations. bondprice: provides an estimated price for a security for a given basis point change.

More functions will be added periodically.

Project details


Download files

Download the file for your platform. If you're not sure which to choose, learn more about installing packages.

Source Distribution

quantfns-1.0.0.tar.gz (1.4 kB view hashes)

Uploaded Source

Supported by

AWS AWS Cloud computing and Security Sponsor Datadog Datadog Monitoring Fastly Fastly CDN Google Google Download Analytics Microsoft Microsoft PSF Sponsor Pingdom Pingdom Monitoring Sentry Sentry Error logging StatusPage StatusPage Status page