curve-construction

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lakshmiDRIP / DRIP

Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics

risk dva bond asset-allocation fixed-income portfolio-construction transaction-cost-analytics execution-cost-analytics curve-construction pnl optimal-execution xva-metrics cva

Updated Nov 3, 2018
Java

PyRedukti is a Python library for Interest Rate Swaps and Fras, supports bootstrapping of Interest Rate Curves, computing NPV and sensitivities using automatic/algorithmic differentiation. It wraps the OpenRedukti library.

python cython automatic-differentiation quantitative-finance sensitivities curve-construction interest-rate-products pricing-derivatives rate-swaps rate-curves

Updated Jul 5, 2023
Python

redukti / OpenRedukti

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OpenRedukti is a C++ library for Interest Rate Swaps and Fras, supports bootstrapping of Interest Rate Curves, computing NPV and sensitivities using automatic/algorithmic differentiation. It provides a scripting environment in Python and Ravi (a Lua dialect).

python lua automatic-differentiation quantitative-finance sensitivities curve-construction interest-rate-products pricing-derivatives rate-swaps rate-curves