lakshmiDRIP / DROP-Fixed-Income

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 Option Pricing, Interest Rate Dynamics and Option Pricing, LMM Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.

Continued Over at DROP https://github.com/lakshmiDRIP/DROP

v3.75 23 September 2018

DROP implements the model libraries and provides systems for fixed income valuation and adjustments, asset allocation and transaction cost analytics, and supporting libraries in numerical optimization and statistical learning.

DROP is composed of four main modules.

• Asset Allocation Module => Asset Allocation Library | Transaction Cost Analytics Library
• Fixed Income Analytics Module => Fixed Income Analytics Library | Asset Backed Analytics Library | XVA Analytics Library | Exposure Analytics Library
• Numerical Optimization Module
• Statistical Learning Module

Pointers

Project Modules

Analytics | Asset Backed | Dynamics | Execution | Exposure | Function | Feed

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 | Reference Specifications | Release Notes | User guide is a work in progress!

Misc

JUnit Tests | Jacoco Coverage | Jacoco Session | Credit Attributions | Version Specifications

Contact

[e-mail]