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QuantLib-Risks: Risk-enabled QuantLib for Python

This repository builds QuantLib Python bindings with automatic differentiation, enabling fast risks calculation with QuantLib in Python. It wraps C++ QuantLib-Risks in Python. It uses elements from 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.

Related Projects

• XAD Comprehensive automatic differentiation in Python and C++
• QuantLib-Risks: Fast risk evaluations in Python and C++

Contributing

Please read CONTRIBUTING for the process of contributing to this project. Please also obey our Code of Conduct 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 file for details.

It contains code from QuantLib and QuantLib-SWIG, which are shipped with a different (compatible) license. Both licenses are included in LICENSE.md