Awesome
DROP
v6.50 30 August 2024
<p align="center"><img src="https://github.com/lakshmiDRIP/DROP/blob/master/DRIP_Logo.gif?raw=true" width="100"></p>DROP implements libraries targeting analytics/risk, transaction cost analytics, asset liability analytics, capital, exposure, and margin analytics, valuation adjustment analytics, and portfolio construction analytics within and across fixed income, credit, commodity, equity, FX, and structured products. It also includes auxiliary libraries for graph algorithms, numerical analysis, numerical optimization, spline builder, model validation, statistical learning, and computational support
DROP is composed of three modules.
- Product Core Module => Fixed Income Product Analytics, Loan Analytics, and Transaction Cost Analytics.
- Portfolio Core Module => Portfolio Contruction and Asset Liability, along with Exposure, Margin, XVA, and Capital Analytics.
- Computation Core Module => Algorithm/Computation Support, Function Analysis, Model Validation, Numerical Analysis, Numerical Optimizer, Spline Builder, Graph Algorithms, and Statistical Learning.
Pointers
Repo Structure
Module, Library, and Project Layout
Installation
Installation is as simple as building a jar and dropping into the classpath. There are no other dependencies.
Samples
Java Samples | Excel Samples | Test Data
Documentation
Javadoc API | DROP Specifications | Release Notes | User guide is a work in progress!
Misc
JUnit Tests | Jacoco Coverage | Jacoco Session | Credit Attributions | Version Specifications
Contact
