redukti / OpenReduktiLinks
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).
☆10Updated last year
Alternatives and similar repositories for OpenRedukti
Users that are interested in OpenRedukti are comparing it to the libraries listed below
Sorting:
- PyRedukti is a Python library for Interest Rate Swaps and Fras, supports bootstrapping of Interest Rate Curves, computing NPV and sensiti…☆11Updated last year
- ☆12Updated last year
- A library for portfolio optimization algorithms with python interface.☆30Updated 4 years ago
- Price response function and spread impact analysis in correlated financial markets☆15Updated 5 months ago
- Financial security modelling with Python and QuantLib☆33Updated 11 years ago
- QuantLib with adjoint algorithmic differentiation (AAD)☆49Updated 9 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- Tutorial for the book "Algorithmic Differentiation in Finance"☆16Updated 7 years ago
- An Excel integration of OpenGamma Strata.☆13Updated 3 years ago
- AAD enabled and scripting included derivatives modeling.☆22Updated last month
- A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep G…☆28Updated 5 years ago
- A project of realizing multiple numerical option pricing methods, including trees, Monte Carlo simulations, and finite difference methods…☆20Updated 7 years ago
- Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley,…☆23Updated 4 years ago
- Python and Cython scripts of machine learning, econometrics and statistical tools designed for finance.☆22Updated last year
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 years ago
- Collection of projects oriented around the computational finance domain.☆26Updated 6 years ago
- α collection of resources for people interested in quant finance☆53Updated 6 years ago
- Root-finding algos, Black-Scholes and trees with Python☆44Updated 11 years ago
- PYBOR is multi-curve interest rate framework and risk engine based on multivariate optimization techniques, written in Python☆41Updated last year
- Desktop application for theoretical visualization of financial derivatives, using PyQT, Cython, and OpenGL.☆9Updated 3 years ago
- Tutorials about Machine Learning and Deep Learning☆30Updated 6 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 5 years ago
- A Python toolkit for high-frequency trade research.☆40Updated 7 years ago
- Talk Materials for "Convex Optimization for Finance"☆28Updated 2 years ago
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆65Updated 5 years ago
- Source code for 'Options and Derivatives Programming in C++' by CARLOS OLIVEIRA☆35Updated 8 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- ☆50Updated last year
- Numerical methods (e.g., binomial trees, Monte Carlo, and finite different methods) for option pricing☆19Updated 6 years ago
- Example for Interest Rate Modelling Lecture☆13Updated 2 months ago