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 Optio…
fixed-income
instruments-trading-convention
treasury-futures-options
funding-curve
forward-curve
libor-curve
ois-curve
overnight-curve
multi-curve
collateral-curve
position-horizon-analyzer
statistical-curve-construction
bond-pricing-relative-value
interest-rate-products
cva-dva-fva-kva-xva
interest-rate-options
stochastic-volatility-models
lmm-calibration-greeks
algorithmic-differentiation
asset-backed
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Updated
Sep 26, 2018 - HTML