Trading: Trades, Curves, Rating Tables, Add-on Tables, CSAs

Contains trades from the five major assets classes and also functionality to use pricing curves, rating tables, CSAs and add-on tables. The implementation follows an object oriented logic whereby each trade inherits from more abstract classes while also the curves/tables are objects. There is a lot of functionality focusing on the counterparty credit risk calculations however the package can be used for trading applications in general.

AuthorTasos Grivas
Date of publication2016-11-20 23:14:06
MaintainerTasos Grivas <info@openriskcalculator.com>
LicenseGPL-3
Version1.1
www.openriskcalculator.com

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