quantlib-python

name	quantlib-python
description	QuantLib Python bindings for quantitative finance. Pricing and risk analytics for fixed income, equity, FX, credit derivatives, and structured products. Yield curves, options, swaps, bonds, and Monte Carlo simulation.
tags	["quantitative-finance","derivatives","options","fixed-income","risk-management","quantlib","zorai"]

Overview

QuantLib Python provides pricing and risk analytics for fixed income, equity, FX, and credit derivatives. Covers yield curves, options, swaps, bonds, caps/floors, swaptions, and structured products. The standard open-source quantitative finance library used by banks, hedge funds, and fintech.

Installation

uv pip install QuantLib-Python

Bond Pricing

import QuantLib as ql

ql.Settings.instance().evaluationDate = ql.Date(15, 6, 2024)
schedule = ql.Schedule(
    ql.Date(15, 6, 2023), ql.Date(15, 6, 2028),
    ql.Period(ql.Semiannual),
    ql.UnitedStates(ql.UnitedStates.GovernmentBond),
    ql.Unadjusted, ql.Unadjusted,
    ql.DateGeneration.Backward, False)
bond = ql.FixedRateBond(2, 100.0, schedule, [0.05], ql.ActualActual())
ytm = bond.bondYield(95.0, ql.ActualActual(), ql.Compounded, ql.Semiannual)
print(f"YTM: {ytm:.4%}")

References

• QuantLib docs
• QuantLib-Python