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An XVA quantitative library with AAD

Project description

RiskFlow

An xVA quantitative library written in pure python using tensorflow.

Installation

The easiest way to install riskflow is via pip

pip install riskflow

Note that this installs tensorflow 1.14 (the cpu version). If gpu's are available, please install tensorflow-gpu (also version 1.14) 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

  1. The hessian (matrix of second derivatives) does not always compute - this may be a bug in tensorflow

Project details


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