3 open source projects by lakshmiDRIP

DRIP Fixed Income is a collection of Java libraries for Instrument/Trading Conventions, Treasury Futures/Options, Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.

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2. DRIP

Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics

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java risk dva bond asset-allocation fixed-income portfolio-construction transaction-cost-analytics execution-cost-analytics curve-construction pnl optimal-execution xva-metrics cva

3. DROP

Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics

1-3 of 3 user projects