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.

Python

Issues

Add a complete set of string to enum mappings for relevant data
#5 opened 5 years ago by dibyendumajumdar
0
Don't allow extrapolation on interpolated YieldCurves
#3 opened 5 years ago by dibyendumajumdar
0
Add more error checking in the Python layer so that we don't have invalid data going to the backend services
#4 opened 5 years ago by dibyendumajumdar
0
Convert the swap templates to a class so that users can add more templates
#2 opened 5 years ago by dibyendumajumdar
0
Add trade builders for Fra, Basis, Compounding and ZC swaps
#1 opened 5 years ago by dibyendumajumdar
0