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GitHub topics: cva-dva-fva-kva-xva

lakshmiDRIP/DROP

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

Language: HTML - Size: 3.48 GB - Last synced at: 3 days ago - Pushed at: 3 days ago - Stars: 124 - Forks: 47

lakshmiDRIP/DROP-Fixed-Income

DRIP Fixed Income is a collection of Java libraries for Instrument/Trading Conventions, Treasury Futures/Options, Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.

Language: HTML - Size: 544 KB - Last synced at: about 2 years ago - Pushed at: over 6 years ago - Stars: 23 - Forks: 11

Related Keywords
asset-backed 2 cva-dva-fva-kva-xva 2 fixed-income 2 algorithmic-differentiation 1 bond-pricing-relative-value 1 collateral-curve 1 forward-curve 1 funding-curve 1 instruments-trading-convention 1 interest-rate-options 1 interest-rate-products 1 libor-curve 1 lmm-calibration-greeks 1 multi-curve 1 ois-curve 1 overnight-curve 1 position-horizon-analyzer 1 statistical-curve-construction 1 stochastic-volatility-models 1 treasury-futures-options 1 asset-allocation 1 bond 1 corporates 1 counterparty-risk 1 credit-risk 1 emerging-market 1 fx 1 inflation-linked 1 interest-rates 1 java 1 loans 1 market-risk 1 municipals 1 portfolio-optimization 1 statistical-learning 1 transaction-cost-analytics 1 treasury 1