Fixed Income Analytics

A modular Python implementation of core fixed-rate bond analytics.

This project implements two pricing frameworks:

• Yield-to-Maturity (YTM) pricing
• Zero-curve discounting with z-spread solver

It also includes standard interest rate risk measures: DV01, modified duration, convexity, and key rate DV01.

The objective is to demonstrate a clear understanding of bond pricing mechanics, yield curves, and spread analysis in a clean and structured codebase.

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Features

• Price from YTM
• Solve YTM from price (bisection method)
• Curve-based bond pricing
• Z-spread solver
• DV01 and key rate DV01
• Modified duration and convexity

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Project Structure

src/bond_analytics/
examples/
tests/

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Installation

python -m venv .venv
source .venv/Scripts/activate
python -m pip install -e .

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Run Examples

python examples/demo_ytm.py
python examples/demo_curve_zspread.py
python examples/demo_key_rate_dv01.py

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Run Tests

python -m pytest -q