Topic: "rate-curves"
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.
Language: Python - Size: 774 KB - Last synced at: about 1 year ago - Pushed at: almost 2 years ago - Stars: 11 - Forks: 0
redukti/OpenRedukti
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).
Language: C - Size: 1.39 MB - Last synced at: about 1 year ago - Pushed at: almost 2 years ago - Stars: 8 - Forks: 0