An XVA quantitative library with AAD
An xVA quantitative library written in pure python using tensorflow.
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 is available at readthedocs.
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
- The hessian (matrix of second derivatives) does not always compute - this may be a bug in tensorflow
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