bond-risk-metrics

Features and purpose

Fixed income risk analytics library for Bloomberg-parity bond calculations. Use when implementing: (1) DV01/PV01/duration calculations, (2) Convexity including negative convexity for callables, (3) Key rate duration and partial DV01s, (4) Spread metrics (OAS, Z-spread, ASW, CS01), (5) Effective duration/convexity for bonds with embedded options, (6) FRN discount margin and spread duration, (7) Inflation-linked bond real duration and BEI01, (8) Portfolio-level risk aggregation. Targets sub-microsecond Rust implementation with Bloomberg YAS function parity.

Quick start

Follow the repository instructions for this skill and your agent. Review the files and dependencies before adding it to your workflow.