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

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

Project details

These details have not been verified by PyPI

Project links

Homepage

Release history Release notifications | RSS feed

0.3.1.dev0 pre-release

Sep 11, 2022

This version

0.1.2.dev0 pre-release

Mar 13, 2020

0.1.1.dev0 pre-release

Mar 13, 2020

0.1.0.dev0 pre-release

Mar 13, 2020

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Source Distribution

riskflow-0.1.2.dev0.tar.gz (868.6 kB view hashes)

Uploaded Mar 13, 2020 Source

Built Distribution

riskflow-0.1.2.dev0-py3-none-any.whl (915.7 kB view hashes)

Uploaded Mar 13, 2020 Python 3

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