QuantLib-Risks 1.33.3

Fast risks calculations in QuantLib

This package enables fast risks calculations on the QuantLib Python package. It provides the same interface as the standard QuantLib package, and in addition allows to calculate risks (sensitivities) using automatic differentiation via the XAD automatic differentiation tool.

Useful links:

• QuantLib Documentation
• XAD Documentation, incl Python bindings and QuantLib integration

Installation

pip install QuantLib-Risks

Usage Illustration

import QuantLib_Risks as ql
from xad.adj_1st import Tape

with Tape() as t:
    rate = ql.Real(0.2)
    tape.registerInput(rate)
    
    # quantlib pricing code
    ...
    npv = option.NPV()
    

    tape.registerOutput(npv)
    npv.derivative = 1.0
    tape.computeAdjoints()

    print(f"price = {npv}")
    print(f"delta = {rate.derivative}")