Below you will find pages that utilize the taxonomy term “Irswap”
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Delta risk
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:
Import the necessary QuantLib modules: Python
import QuantLib as ql Create a QuantLib YieldTermStructure object to represent the current interest rate curve: Python
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