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
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Updated
Jul 28, 2023 - C