bond-risk-metrics
Fixed income risk analytics library for Bloomberg-parity bond calculations. Use when implementing: (1) DV01/PV01/duration calculations, (2) Convexity including negative convexity for callables, (3) Key rate duration and partial DV01s, (4) Spread metrics (OAS, Z-spread, ASW, CS01), (5) Effective duration/convexity for bonds with embedded options, (6) FRN discount margin and spread duration, (7) Inflation-linked bond real duration and BEI01, (8) Portfolio-level risk aggregation. Targets sub-microsecond Rust implementation with Bloomberg YAS function parity.
Installation and usage
Fixed income risk analytics library for Bloomberg-parity bond calculations. Use when implementing: (1) DV01/PV01/duration calculations, (2) Convexity including negative convexity for callables, (3) Key rate duration and partial DV01s, (4) Spread metrics (OAS, Z-spread, ASW, CS01), (5) Effective duration/convexity for bonds with embedded options, (6) FRN discount margin and spread duration, (7) Inflation-linked bond real duration and BEI01, (8) Portfolio-level risk aggregation. Targets sub-microsecond Rust implementation with Bloomberg YAS function parity.
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skills use bond-risk-metrics