January 8, 2025 • 1 min read
Python Tools for Fixed Income Analysis
A guide to using QuantLib and pandas for bond pricing, curve construction, and risk.
Python offers a robust toolkit for fixed income analytics, from bootstrapping curves to calculating risk measures.
Libraries
- QuantLib for instruments, curves, and pricing engines
- pandas for tabular data and vectorized operations
- numpy for numerical methods
Yield Curve Construction
Bootstrapping with deposit, futures, and swap instruments allows a smooth discount curve. Once built, you can derive forward rates and price instruments consistently.
Risk Measures
Key risk metrics include DV01, bucketed DV01, and convexity. Scenario analysis helps validate model assumptions.