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PyRedukti is a Python library for Interest Rate Swaps and Fras, supports bootstrapping of Interest Rate Curves, computing NPV and sensitivities using automatic/algorithmic differentiation. It wraps the OpenRedukti library.

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Name		Name	Last commit message	Last commit date
Latest commit History 46 Commits
docs		docs
notebooks		notebooks
redukti		redukti
src		src
testdata		testdata
README.md		README.md
generate_pyprotos.sh		generate_pyprotos.sh
requirements.txt		requirements.txt
setup.py		setup.py

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PyRedukti - A Python interface to OpenRedukti

Documentation

Have a look at redukti.github.io

You can have a look at the Jupyter Notebooks being added at https://github.com/redukti/PyRedukti/tree/master/notebooks

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This is still work in progress and hence please visit again to see updates.

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PyRedukti is a Python library for Interest Rate Swaps and Fras, supports bootstrapping of Interest Rate Curves, computing NPV and sensitivities using automatic/algorithmic differentiation. It wraps the OpenRedukti library.

python cython automatic-differentiation quantitative-finance sensitivities curve-construction interest-rate-products pricing-derivatives rate-swaps rate-curves

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