rate-swaps

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redukti / PyRedukti

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

Updated Jul 28, 2023
C

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