Vade

Production-grade Fixed Income Quant Library with rates, credit and FX analytics for Python, powered by Rust.

Vade brings institutional-quality fixed income analytics to Python. Built from the ground up in Rust and exposed through seamless PyO3 bindings, it delivers the performance of a compiled trading system with the ergonomics of a Python library.

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Why Vade?

• Rust-powered performance -- Native speed for curve building, calibration, and risk computation. No compromises.
• Automatic differentiation -- First- and second-order sensitivities (delta, gamma) computed exactly via dual numbers -- no finite differences, no numerical noise.
• Full fixed income coverage -- Interest rate swaps, bonds, CDS, FX forwards, caps & floors, callable bonds, and more.
• Multi-curve calibration -- Simultaneous bootstrap and fitting across discount, forecast, and credit curves.
• Market context management -- Bundle curves, FX rates, and fixings into a single serializable environment.
• Zero Python overhead -- All analytics execute in Rust. Python is the interface, not the bottleneck.

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Getting Started

Get vade installed and running in under 5 minutes.

• Installation -- Install vade and verify your setup

Understanding Vade

Learn how vade works under the hood -- the Rust/Python architecture and the automatic differentiation type system that powers risk analytics.

• Architecture -- Rust core, PyO3 bindings, max-Rust philosophy, and performance
• Type System -- Dual/Dual2 automatic differentiation and Union return types

API Reference

Complete parameter signatures, types, and working examples for every vade class and function.

• Calendar -- Schedule generation, business day calendars, day count fractions, tenor arithmetic
• Autodiff -- Dual and Dual2 automatic differentiation types
• Numerical -- Root-finding solvers (Brent, Newton-Raphson)
• Curves -- Discount, forward, spread, and parametric curve classes
• Instruments -- IRS, FRA, ZCS, bonds, CDS, and other financial instruments
• Solver -- Multi-curve calibration solver and bootstrap
• FX -- FX rates, forwards, and cross-currency support
• Context -- MarketContext, FixingStore, and evaluation date management
• Cashflows -- Fixed and floating leg cashflow generation

Fundamentals

Core concepts that apply across all product areas.

• Quick Start -- Build a curve, price an instrument, and calibrate in one workflow
• Market Context -- Build, query, and serialize a complete market environment
• Serialization -- JSON round-trips for curves and instruments
• Calibration -- Multi-curve calibration with Solver

Rates

Interest rate curve construction, instrument pricing, risk analytics, and volatility products.

• Overview -- Product introduction and key concepts
• Curve Building -- Interpolation methods, curve types, and forward rate analysis
• Bootstrap & Parametric Curves -- Iterative bootstrap, Nelson-Siegel, NSS, Smith-Wilson
• Pricing -- Price IR instruments against calibrated curves
• Risk -- Delta, gamma, and bucket-level sensitivities
• Caps & Floors -- Black-76 and Bachelier pricing

Credit

Bond analytics, credit default swaps, credit curve construction, and spread analysis.

• Overview -- Product introduction and key concepts
• Bonds -- Bond analytics, duration, convexity, Z-spread
• Callable Bonds -- Callable bond pricing with OAS
• Credit Curves & CDS -- Credit curve construction and CDS pricing
• Fitted Curves -- Parametric curve fitting to bond portfolios
• Spread Analytics -- I-spread and asset swap analysis

FX

FX spot rate triangulation, forward construction, cross-currency swaps, and non-deliverable instruments.

• Overview -- Product introduction and key concepts
• FX Rates & Forwards -- FX rate triangulation and forward construction
• Cross-Currency Swaps -- Cross-currency swap pricing and risk
• Non-Deliverable Instruments -- NDF and non-deliverable swap pricing

Financing

Planned instruments including repo, securities lending, and structured products.

• Overview -- Planned instruments and future scope

Learning Paths

New to Vade? Start here: Installation -> Architecture -> Type System -> Quick Start

Rates: Curve Building -> Bootstrap & Parametric -> Calibration -> Pricing -> Risk -> Caps & Floors

Credit: Bonds -> Credit Curves & CDS -> Spread Analytics -> Callable Bonds -> Fitted Curves

FX: FX Rates & Forwards -> Cross-Currency Swaps -> Non-Deliverable Instruments

Market data management: Market Context -> Serialization

Roadmap

See Roadmap for planned features and milestones.

Reference

Lookup tables for string enum values and parameter conventions used across the API.

• Conventions -- String enum values for day counts, frequencies, interpolation methods, and more