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:
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}")
1 maintainer
Release files for QuantLib-Risks 1.33.3
For a detailed explanation of source distributions (sdists) and built distributions (wheels), please see the package formats documentation.
Built distributions (wheels)
Total release size: 527.6 MB
Release files / quantlib_risks-1.33.3-cp312-cp312-win_amd64.whl
| Download URL | quantlib_risks-1.33.3-cp312-cp312-win_amd64.whl |
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| Size | 15.4 MB |
| Tags | CPython 3.12 Windows x86-64 |
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Release files / quantlib_risks-1.33.3-cp312-cp312-musllinux_1_1_x86_64.whl
| Download URL | quantlib_risks-1.33.3-cp312-cp312-musllinux_1_1_x86_64.whl |
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| Size | 33.0 MB |
| Tags | CPython 3.12 Linux musl 1.1+ x86-64 |
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Release files / quantlib_risks-1.33.3-cp312-cp312-manylinux_2_17_x86_64.manylinux2014_x86_64.whl
| Download URL | quantlib_risks-1.33.3-cp312-cp312-manylinux_2_17_x86_64.manylinux2014_x86_64.whl |
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| Size | 35.5 MB |
| Tags | CPython 3.12 Linux glibc 2.17+ x86-64 |
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Release files / quantlib_risks-1.33.3-cp312-cp312-macosx_12_0_x86_64.whl
| Download URL | quantlib_risks-1.33.3-cp312-cp312-macosx_12_0_x86_64.whl |
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| Size | 27.1 MB |
| Tags | CPython 3.12 macOS 12.0+ x86-64 |
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Release files / quantlib_risks-1.33.3-cp311-cp311-win_amd64.whl
| Download URL | quantlib_risks-1.33.3-cp311-cp311-win_amd64.whl |
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| Size | 15.4 MB |
| Tags | CPython 3.11 Windows x86-64 |
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Release files / quantlib_risks-1.33.3-cp311-cp311-musllinux_1_1_x86_64.whl
| Download URL | quantlib_risks-1.33.3-cp311-cp311-musllinux_1_1_x86_64.whl |
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| Size | 33.0 MB |
| Tags | CPython 3.11 Linux musl 1.1+ x86-64 |
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Release files / quantlib_risks-1.33.3-cp311-cp311-manylinux_2_17_x86_64.manylinux2014_x86_64.whl
| Download URL | quantlib_risks-1.33.3-cp311-cp311-manylinux_2_17_x86_64.manylinux2014_x86_64.whl |
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| Size | 35.4 MB |
| Tags | CPython 3.11 Linux glibc 2.17+ x86-64 |
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| Download URL | quantlib_risks-1.33.3-cp311-cp311-macosx_12_0_x86_64.whl |
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| Size | 27.1 MB |
| Tags | CPython 3.11 macOS 12.0+ x86-64 |
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| Download URL | quantlib_risks-1.33.3-cp310-cp310-win_amd64.whl |
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| Size | 15.4 MB |
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Release files / quantlib_risks-1.33.3-cp310-cp310-musllinux_1_1_x86_64.whl
| Download URL | quantlib_risks-1.33.3-cp310-cp310-musllinux_1_1_x86_64.whl |
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| Size | 33.0 MB |
| Tags | CPython 3.10 Linux musl 1.1+ x86-64 |
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| Download URL | quantlib_risks-1.33.3-cp310-cp310-manylinux_2_17_x86_64.manylinux2014_x86_64.whl |
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| Size | 35.4 MB |
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| Download URL | quantlib_risks-1.33.3-cp310-cp310-macosx_12_0_x86_64.whl |
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| Size | 27.1 MB |
| Tags | CPython 3.10 macOS 12.0+ x86-64 |
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Release files / quantlib_risks-1.33.3-cp39-cp39-win_amd64.whl
| Download URL | quantlib_risks-1.33.3-cp39-cp39-win_amd64.whl |
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| Size | 15.4 MB |
| Tags | CPython 3.9 Windows x86-64 |
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| Download URL | quantlib_risks-1.33.3-cp39-cp39-musllinux_1_1_x86_64.whl |
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| Size | 33.0 MB |
| Tags | CPython 3.9 Linux musl 1.1+ x86-64 |
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| Download URL | quantlib_risks-1.33.3-cp39-cp39-manylinux_2_17_x86_64.manylinux2014_x86_64.whl |
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| Size | 35.4 MB |
| Tags | CPython 3.9 Linux glibc 2.17+ x86-64 |
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| Download URL | quantlib_risks-1.33.3-cp39-cp39-macosx_12_0_x86_64.whl |
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| Size | 27.1 MB |
| Tags | CPython 3.9 macOS 12.0+ x86-64 |
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| Size | 15.4 MB |
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| Download URL | quantlib_risks-1.33.3-cp38-cp38-musllinux_1_1_x86_64.whl |
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| Size | 33.0 MB |
| Tags | CPython 3.8 Linux musl 1.1+ x86-64 |
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| Download URL | quantlib_risks-1.33.3-cp38-cp38-manylinux_2_17_x86_64.manylinux2014_x86_64.whl |
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