#Curve-construction
Showing 2 of 2 repositories tagged #curve-construction, ranked by stars
redukti
PyRedukti
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.
Score
100
★ 11
⑂ 1
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Python
redukti
OpenRedukti
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).
Score
0
★ 10
⑂ 0
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C