Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics
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.
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).
Financial Engineering in IRFX in C++
MCC functions for ML
[OBSOLETE] Superseded by Boutquin.Analytics
Bootstrap arbitrage-free yield curves from US Treasury CMT rates using piecewise linear or monotone cubic forward interpolation
Open model validation, monitoring, stress testing and risk analytics workflows in Python.
Curve construction library for .NET 10. Post-LIBOR, RFR-first, multi-curve bootstrapping for SOFR, CORRA, SONIA, and €STR. Apache 2.0.
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