├── .gitignore ├── Cargo.toml ├── LICENSE ├── PIP_FREEZE.txt ├── README.md ├── notebooks ├── coding │ ├── ch5_fx.ipynb │ ├── curves.ipynb │ └── scheduling.ipynb └── coding_2 │ ├── AutomaticDifferentiation.ipynb │ ├── Calendars.ipynb │ ├── Cookbook.ipynb │ ├── CurveSolving.ipynb │ ├── Curves.ipynb │ ├── FXRates.ipynb │ ├── FXVolatility.ipynb │ ├── Instruments.ipynb │ ├── InterpolationAndSplines.ipynb │ ├── Legs.ipynb │ ├── Periods.ipynb │ └── Scheduling.ipynb ├── pyproject.toml ├── python ├── rateslib │ ├── __init__.py │ ├── _deprecations_record.txt │ ├── _spec_loader.py │ ├── curves │ │ ├── __init__.py │ │ ├── _parsers.py │ │ ├── curves.py │ │ ├── interpolation.py │ │ ├── rs.py │ │ └── utils.py │ ├── data │ │ ├── __instrument_spec.csv │ │ ├── aud_rfr.csv │ │ ├── cad_rfr.csv │ │ ├── corra.csv │ │ ├── estr.csv │ │ ├── eur_rfr.csv │ │ ├── gbp_rfr.csv │ │ ├── inr_rfr.csv │ │ ├── jpy_rfr.csv │ │ ├── nok_rfr.csv │ │ ├── nowa.csv │ │ ├── sek_rfr.csv │ │ ├── sofr.csv │ │ ├── sonia.csv │ │ ├── swestr.csv │ │ └── usd_rfr.csv │ ├── default.py │ ├── dual │ │ ├── __init__.py │ │ ├── ift.py │ │ ├── newton.py │ │ ├── quadratic.py │ │ ├── utils.py │ │ └── variable.py │ ├── fx │ │ ├── __init__.py │ │ ├── fx_forwards.py │ │ └── fx_rates.py │ ├── fx_volatility │ │ ├── __init__.py │ │ ├── base.py │ │ ├── delta_vol.py │ │ ├── sabr.py │ │ └── utils.py │ ├── instruments │ │ ├── __init__.py │ │ ├── base.py │ │ ├── bonds │ │ │ ├── __init__.py │ │ │ ├── conventions │ │ │ │ ├── __init__.py │ │ │ │ ├── accrued.py │ │ │ │ └── discounting.py │ │ │ ├── futures.py │ │ │ └── securities.py │ │ ├── credit │ │ │ ├── __init__.py │ │ │ └── derivatives.py │ │ ├── fx_volatility │ │ │ ├── __init__.py │ │ │ ├── strategies.py │ │ │ └── vanilla.py │ │ ├── generics.py │ │ ├── rates │ │ │ ├── __init__.py │ │ │ ├── inflation.py │ │ │ ├── multi_currency.py │ │ │ └── single_currency.py │ │ ├── sensitivities.py │ │ └── utils.py │ ├── legs │ │ ├── __init__.py │ │ ├── base.py │ │ ├── credit.py │ │ ├── index.py │ │ ├── mtm.py │ │ ├── rates.py │ │ └── zeros.py │ ├── mutability │ │ └── __init__.py │ ├── periods │ │ ├── __init__.py │ │ ├── base.py │ │ ├── cashflow.py │ │ ├── credit.py │ │ ├── fx_volatility.py │ │ ├── index.py │ │ ├── rates.py │ │ └── utils.py │ ├── py.typed │ ├── rs.pyi │ ├── scheduling │ │ ├── __init__.py │ │ ├── adjuster.py │ │ ├── calendars.py │ │ ├── dcfs.py │ │ ├── frequency.py │ │ ├── imm.py │ │ ├── rollday.py │ │ └── schedule.py │ ├── serialization │ │ ├── __init__.py │ │ ├── json.py │ │ └── utils.py │ ├── solver.py │ ├── splines │ │ ├── __init__.py │ │ └── evaluate.py │ └── typing.py └── tests │ ├── scheduling │ ├── test_calendars.py │ ├── test_calendarsrs.py │ ├── test_frequency.py │ ├── test_imm.py │ ├── test_schedule.py │ └── test_schedulers.py │ ├── serialization │ ├── test_json.py │ ├── test_pickle.py │ └── test_repr.py │ ├── test_curves.py │ ├── test_curvesrs.py │ ├── test_default.py │ ├── test_dual.py │ ├── test_dualpy.py │ ├── test_dualrs.py │ ├── test_fx.py │ ├── test_fx_volatility.py │ ├── test_fxrs.py │ ├── test_instruments.py │ ├── test_instruments_bonds.py │ ├── test_legs.py │ ├── test_periods.py │ ├── test_serialization.py │ ├── test_solver.py │ ├── test_splines.py │ └── test_to_fix.py ├── requirements-minimum.txt ├── requirements.txt └── rust ├── _README.txt ├── curves ├── curve.rs ├── curve_py.rs ├── interpolation │ ├── interpolation_py.rs │ ├── intp_flat_backward.rs │ ├── intp_flat_forward.rs │ ├── intp_linear.rs │ ├── intp_linear_zero_rate.rs │ ├── intp_log_cubic.rs │ ├── intp_log_linear.rs │ ├── intp_null.rs │ ├── mod.rs │ └── utils.rs ├── mod.rs ├── nodes.rs └── serde.rs ├── dual ├── docs.rs ├── dual.rs ├── dual_ops │ ├── add.rs │ ├── convert.rs │ ├── div.rs │ ├── eq.rs │ ├── from.rs │ ├── math_funcs.rs │ ├── mod.rs │ ├── mul.rs │ ├── neg.rs │ ├── num.rs │ ├── numeric_ops.rs │ ├── one.rs │ ├── ord.rs │ ├── pow.rs │ ├── rem.rs │ ├── signed.rs │ ├── sub.rs │ ├── sum.rs │ └── zero.rs ├── dual_py.rs ├── enums.rs ├── linalg │ ├── linalg_dual.rs │ ├── linalg_f64.rs │ └── mod.rs ├── linalg_py.rs └── mod.rs ├── fx ├── mod.rs ├── rates │ ├── ccy.rs │ ├── fxpair.rs │ ├── fxrate.rs │ └── mod.rs └── rates_py.rs ├── fx_volatility ├── mod.rs └── sabr_funcs.rs ├── json ├── json_py.rs └── mod.rs ├── lib.rs ├── main.rs ├── scheduling ├── calendars │ ├── adjuster.rs │ ├── cal.rs │ ├── calendar.rs │ ├── dateroll.rs │ ├── mod.rs │ ├── named │ │ ├── all.rs │ │ ├── bus.rs │ │ ├── fed.rs │ │ ├── fed_script.py │ │ ├── ldn.rs │ │ ├── ldn_script.py │ │ ├── mod.rs │ │ ├── mum.rs │ │ ├── mum_script.py │ │ ├── nyc.rs │ │ ├── nyc_script.py │ │ ├── osl.rs │ │ ├── osl_script.py │ │ ├── stk.rs │ │ ├── stk_script.py │ │ ├── syd.rs │ │ ├── syd_script.py │ │ ├── tgt.rs │ │ ├── tgt_script.py │ │ ├── tro.rs │ │ ├── tro_script.py │ │ ├── tyo.rs │ │ ├── tyo_script.py │ │ ├── wlg.rs │ │ ├── wlg_script.py │ │ ├── zur.rs │ │ └── zur_script.py │ ├── named_cal.rs │ └── union_cal.rs ├── dcfs.rs ├── frequency │ ├── frequency.rs │ ├── imm.rs │ ├── 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