An XVA quantitative library with AAD
Project description
RiskFlow
An xVA quantitative library written in pure python using pytorch
Installation
The easiest way to install riskflow is via pip
pip install riskflow
The minimum required version is pytorch 1.8. It is highly recommended to install pytorch with gpu support. Downloading the source and running setup also works.
python setup.py install
Documentation
Documentation is available at readthedocs.
Usage
There are 2 batch scripts installed :
- RF_Batch runs CVA, CollVA and FVA calculations on a folder of netting sets
- RF_Bootstrap currently only calculates hull white 2 factor parameters from swaption vols
Known issues
- Documentation is out of date
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