sensitivities

There are 7 repositories under sensitivities topic.

  • AMICI

    AMICI-dev/AMICI

    Advanced Multilanguage Interface to CVODES and IDAS

    Language:Jupyter Notebook1081294930

  • 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:Python11251

  • 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:C8390

  • obfosso/PyDSAL

    The repository contains code for distribution system analysis. Currently the code developed is for radial systems but many sensitivities are provided which can be used for decision support.

    5300

  • TommasoBelluzzo/InitialMargin

    A .NET implementation of Initial Margin models.

    Language:C#3203

  • risktoollib/RTLappOptions

    Experiment with options risk at the portfolio level

    Language:R2200

  • risktoollib/RTLappBonds

    Experiment with fixed income risk at the portfolio level

    Language:R1201