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https://github.com/auto-differentiation/QuantLib-Risks-Py
Fast Risks with QuantLib in Python
https://github.com/auto-differentiation/QuantLib-Risks-Py
automatic-differentiation quantitative-finance risk-analysis
Last synced: 29 days ago
JSON representation
Fast Risks with QuantLib in Python
- Host: GitHub
- URL: https://github.com/auto-differentiation/QuantLib-Risks-Py
- Owner: auto-differentiation
- License: other
- Created: 2024-04-03T13:34:19.000Z (9 months ago)
- Default Branch: main
- Last Pushed: 2024-06-17T18:53:46.000Z (7 months ago)
- Last Synced: 2024-08-13T13:33:22.719Z (5 months ago)
- Topics: automatic-differentiation, quantitative-finance, risk-analysis
- Language: Python
- Homepage: https://auto-differentiation.github.io
- Size: 4.13 MB
- Stars: 8
- Watchers: 2
- Forks: 2
- Open Issues: 4
-
Metadata Files:
- Readme: README.md
- Changelog: CHANGELOG.md
- Contributing: CONTRIBUTING.md
- License: LICENSE.md
- Code of conduct: CODE_OF_CONDUCT.md
Awesome Lists containing this project
- awesome-quant - QuantLibRisks - Fast risks with QuantLib (Python / Risk Analysis)
README
QuantLib-Risks: Risk-enabled QuantLib for Python
================================================
[](https://github.com/auto-differentiation/QuantLib-Risks-Py/releases/latest)
[](https://pypi.org/project/QuantLib-Risks)
---
This repository builds QuantLib Python bindings with automatic differentiation, enabling
fast risks calculation with QuantLib in Python.
It wraps [C++ QuantLib-Risks](https://github.com/auto-differentiation/QuantLib-Risks-Cpp)
in Python.
It uses elements from [QuantLib-SWIG](https://github.com/lballabio/QuantLib-SWIG) and
is kept in sync with it.
## Getting Started
You can install it as:
```
pip install QuantLib-Risks
```
## Getting Help
For documentation and other resources, see https://auto-differentiation.github.io/quantlib-risks/python/ .
If you have found an issue, want to report a bug, or have a feature request, please raise a [GitHub issue](https://github.com/auto-differentiation/QuantLib-Risks-Py/issues).
## Related Projects
- XAD Comprehensive automatic differentiation in [Python](https://github.com/auto-differentiation/xad-py) and [C++](https://github.com/auto-differentiation/xad)
- QuantLib-Risks: Fast risk evaluations in [Python](https://github.com/auto-differentiation/QuantLib-Risks-Py) and [C++](https://github.com/auto-differentiation/QuantLib-Risks-Cpp)
## Contributing
Please read [CONTRIBUTING](CONTRIBUTING.md) for the process of contributing to this project.
Please also obey our [Code of Conduct](CODE_OF_CONDUCT.md) in all communication.
## Versioning
This repository follows the QuantLib versions closely. With each new QuantLib release,
a new release of QuantLib-Risks is prepared with the same version number.
## License
This project is licensed under the GNU Affero General Public License - see the [LICENSE.md](LICENSE.md) file for details.
It contains code from [QuantLib](https://www.quantlib.org)
and [QuantLib-SWIG](https://github.com/lballabio/QuantLib-SWIG),
which are shipped with a different (compatible) license.
Both licenses are included in [LICENSE.md](LICENSE.md)