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).

CGPL-3.0

Issues

Create a Python binding for OpenRedukti
#4 opened 5 years ago by dibyendumajumdar
1
Schedule generator needs to handle roll convention DEFAULT properly
#6 opened 5 years ago by dibyendumajumdar
1
OIS Cashflow lacks a currency field
#9 opened 5 years ago by dibyendumajumdar
0
Check that cashflows are consistent before accepting them
#8 opened 5 years ago by dibyendumajumdar
0
Enhancements to support Bonds and Repos
#7 opened 5 years ago by dibyendumajumdar
0
All output from OpenRedukti should be routed via a user controllable api
#5 opened 5 years ago by dibyendumajumdar
0
Improve schedule generator so that it returns more specific codes rather than just boolean true or false
#2 opened 5 years ago by dibyendumajumdar
1
Add an interface to reset the valuation service
#3 opened 5 years ago by dibyendumajumdar
1
The path to pricing.lua script should be a parameter
#1 opened 7 years ago by dibyendumajumdar
1