Pre-release
This release is a pre-release and may not be stable for production use.
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- Documentation is out of date
1 maintainer
Metadata
1 maintainer
Release files for riskflow 0.3.1.dev0
For a detailed explanation of source distributions (sdists) and built distributions (wheels), please see the package formats documentation.
Source distribution (sdist)
| File | Size | Uploaded | |
|---|---|---|---|
| riskflow-0.3.1.dev0.tar.gz | 185.9 kB | Details |
Built distribution (wheel)
| File | Interpreter | ABI | Platform | Reset |
|---|---|---|---|---|
| riskflow-0.3.1.dev0-py3-none-any.whl | Python 3 | none | any | Details |
Total release size: 378.5 kB
Release files / riskflow-0.3.1.dev0.tar.gz
| Download URL | riskflow-0.3.1.dev0.tar.gz |
|---|---|
| Size | 185.9 kB |
| Tags | Source |
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Release files / riskflow-0.3.1.dev0-py3-none-any.whl
| Download URL | riskflow-0.3.1.dev0-py3-none-any.whl |
|---|---|
| Size | 192.6 kB |
| Tags | Python 3 |
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