A fixed income library for pricing bonds and bond futures, and derivatives such as IRS, cross-currency and FX swaps. Contains tools for full Curveset construction with market standard optimisers and automatic differention (AD) and risk sensitivity calculations including delta and cross-gamma.
attack68
commented
1 month ago
I currently have no idea how to configure Conda to cross-compile and build this project in Conda Forge.
Anyone with knowledge, please contact me:
https://github.com/conda-forge/rateslib-feedstock/pull/11#issuecomment-2143048604