Skip to content
#

derivatives

Here are 347 public repositories matching this topic...

rateslib

A fixed income library for pricing bonds and bond futures, and derivatives such as IRS, cross-currency and FX swaps. Contains tools for full Curveset construction with market standard optimisers and automatic differention (AD) and risk sensitivity calculations including delta and cross-gamma.

  • Updated May 27, 2024
  • Python

CasADi is a symbolic framework for numeric optimization implementing automatic differentiation in forward and reverse modes on sparse matrix-valued computational graphs. It supports self-contained C-code generation and interfaces state-of-the-art codes such as SUNDIALS, IPOPT etc. It can be used from C++, Python or Matlab/Octave.

  • Updated May 27, 2024
  • C++

Improve this page

Add a description, image, and links to the derivatives topic page so that developers can more easily learn about it.

Curate this topic

Add this topic to your repo

To associate your repository with the derivatives topic, visit your repo's landing page and select "manage topics."

Learn more