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).
Last updated Mar 2, 2025
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Language breakdown
C 67.3%
C++ 30.1%
Lua 1.4%
CMake 0.6%
Makefile 0.4%
Dockerfile 0.2%
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