High-performance sensitivity analysis for large ordinary differential equation models

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.

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).

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.

A .NET implementation of Initial Margin models.

Experiment with options risk at the portfolio level

Experiment with fixed income risk at the portfolio level