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DROP implements the model libraries and provides systems for fixed income valuation and adjustments, asset allocation and transaction cost analytics, and supporting libraries in numerical optimization and statistical learning.
DROP is composed of four main libraries:
[Asset Allocation] (https://lakshmidrip.github.io/DROP/AssetAllocationModule.html)
[Fixed Income Analytics] (https://lakshmidrip.github.io/DROP/FixedIncomeModule.html)
[Numerical Optimization] (https://lakshmidrip.github.io/DROP/NumericalOptimizerModule.html)
[Statistical Learning] (https://lakshmidrip.github.io/DROP/StatisticalLearningModule.html)
Features
- Fixed Income Analytics
- Bond Pricing
- Portfolio Construction
- Asset Backed
- Asset Allocation
- Transaction Cost Analytics
- Portfolio Optimization
- Market Risk
- Counterparty Risk
- CVA DVA FVA XVA
- Treasury
- Inflation Linked
- Municipal
- Emerging Market
- Credit Risk
- Corporates
- Loan
- Interest Rate Products
- FX
- Curve Construction and Volatility Surfaces
- Options
- Structured Products
- Time Series and PnL Attribution
- OTC and Collateralized Valuation
- CCAR Scenario Testing MIFID Compliance
Categories
LibrariesLicense
Apache License V2.0Follow LakshmiDROP
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User Reviews
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The most comprehensive fixed income suite!