Stockholm, Sweden

JHM Darbyshire

Expert
@attack68

IRSs and XCSs Trader (Swedbank, Nordea, Barclays). Author. Core dev team volunteer (Pandas).

rateslib.com

rateslib. A fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) and FX swaps. Contains tools for full curveset construction with market standard optimisers and automatic differentiation (AD) and risk sensitivity calculations including delta and cross-gamma.

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book_irds3. Code repository for Pricing and Trading Interest Rate Derivatives

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