QuantLib is a free and open-source software library for quantitative finance. It provides a wide range of functionality for pricing and risk-managing financial derivatives, including interest rate swaps.

To calculate the delta risk of an interest rate swap in Python using QuantLib, you can follow these steps:

1. Import the necessary QuantLib modules:

Python

import QuantLib as ql

1. Create a QuantLib YieldTermStructure object to represent the current interest rate curve:

Python

I had the exciting opportunity to collaborate with a talented team on a project that significantly enhanced the company’s trading capabilities. We developed and maintained a comprehensive suite of tools, including a client-side and market-side booking service, an off-order-book trade reporting engine, and a robust trade manager/repository.

Direct Market Access for Enhanced Trading:

Our market-side booking service revolutionized how traders interacted with the market. By enabling direct order placement with market makers, we empowered our team with:

Whenever you start on a new project there’s always a certain amount of tribal language to decode. A colleague of mine kept talking about a system that “calculates IRC”. When I asked what IRC was, he didn’t know….

Here’s the best reference I found for developers looking to understand Counterparty Credit Risk.