vincentlabelle / bperf

Vanilla fixed income performance calculations in Python.

Bperf: Vanilla Fixed Income Performance Calculations for Python

Bperf helps you generate a performance and attribution report on a vanilla fixed income portfolio or a liability. It supports Python 3.10.

Installation

Bperf is not yet available on PyPI, and must be installed from source.

Quick Start

To generate a performance and attribution report, the user must use the provided PerformanceReportGenerator in bperf.report. The user is responsible for implementing IDataPointsFetcher which is necessary for the report generation.