DROP 4.15
DROP
v4.15 24 April 2019
DROP implements libraries for single products (fixed income, FX, and asset backed), portfolios (optimal portfolios, XVA, and Exposure analytics), and numerical support (linear algebra, numerical optimizer, and algorithm support).
DROP is composed of three modules.
- Analytics Core Module => Fixed Income Analytics, Asset Back Analytics, Exposure and Margin Analytics, and XVA Analytics.
- Portfolio Core Module => Portfolio Contruction, along with Execution/Transaction Cost Models.
- Numerical Core Module => Model Validation, Spline Builder, Statistical Learning, Numerical Optimizer, and Algorithm Support Libraries.
Pointers
Repo Structure
Module, Library, and Project Layout
Installation
Installation is as simple as building a jar and dropping into the classpath. There are no other dependencies.
Samples
Java Samples | Excel Samples | Test Data
Documentation
Javadoc API | DROP Specifications | Release Notes | User guide is a work in progress!
Misc
JUnit Tests | Jacoco Coverage | Jacoco Session | Credit Attributions | Version Specifications