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Releases: redukti/OpenRedukti

OpenRedukti Alpha 0.2 Release

02 Jul 22:50
@dibyendumajumdar dibyendumajumdar
0.2
bc110c4
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OpenRedukti Alpha 0.2 Release Pre-release
Pre-release

OpenRedukti is a C++ and Python library for working with Interest Rate Derivative products such as Interest Rate Swaps, and FRAs. It allows you to build Interest Rate curves with different interpolation methods, and then use these curves to compute present value and sensitivities of Interest Rate Derivatives.

OpenRedukti is Free Software, licensed under the GNU General Public License, v3

Main Features

  • Small library with minimal external dependencies (only external dependencies are BLAS, LAPACK and Google Protocol Buffers)
  • Ability to express an interest rate product as a set of cashflows
  • Bootstrap continuously compounded zero coupon interest rate curves using Linear, CubicSpline, and MonotoneConvex interpolators
  • Interpolate curves in the discount factor space using LogLinear and LogCubicSpline interpolators
  • Compute present value of cashflows
  • Compute first and second order derivatives using Automatic/algorithmic Differentiation.
  • Script using Python and Ravi (Lua derivative)
  • Server implementation using gRPC
  • Docker images available - see documentation

New in this release

  • Bug-fixes
  • Python Scripting API
  • gRPC server implementation
  • Support for Svensson Yield Curves
  • Docker images

Documentation

See https://redukti.github.io/

Assets 2

OpenRedukti Alpha Release 0.1 for Windows 10 x64

07 Oct 00:04
@dibyendumajumdar dibyendumajumdar
0.1
514e608
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OpenRedukti Alpha Release 0.1 for Windows 10 x64 Pre-release
Pre-release

OpenRedukti is a C++ library for working with Interest Rate Derivative products such as Interest Rate Swaps, and FRAs. It allows you to build Interest Rate curves with different interpolation methods, and then use these curves to compute present value and sensitivities of Interest Rate Derivatives.

OpenRedukti is Free Software, licensed under the GNU General Public License, v3

Main Features

  • Small library with minimal external dependencies (only external dependencies are BLAS, LAPACK and Google Protocol Buffers)
  • Ability to express an interest rate product as a set of cashflows
  • Bootstrap continuously compounded zero coupon interest rate curves using Linear, CubicSpline, and MonotoneConvex interpolators
  • Interpolate curves in the discount factor space using LogLinear and LogCubicSpline interpolators
  • Compute present value of cashflows
  • Compute first and second order derivatives using Automatic/algorithmic Differentiation.
  • Script using Ravi - a dialect of Lua programming language

Documentation

Binaries

The binaries are for Windows 10 x64 platform only. Furthermore only the command line scripting environment is provided.

Assets 3