Rates Strategy Lab.

Rates Strategy Lab is an institutional-style quantitative research platform for US interest rates and yield curve relative value strategies. Features automated Treasury yield curve fitting using the Nelson-Siegel-Svensson parametric model and QuantLib zero-coupon bootstrapping, PCA decomposition (level, slope, curvature), bond analytics (DV01, modified duration, convexity), SOFR swap scenario engines, and walk-forward backtesting of a DV01-neutral 2s10s curve steepener with Deflated Sharpe ratio evaluation and an Excel/VBA risk dashboard.