LakshmiDROP

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

Project Activity

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License

Apache License V2.0

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LakshmiDROP Web Site

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lakshmidrip Posted 2018-01-14

The most comprehensive fixed income suite!

Additional Project Details

Operating Systems

Android, Apple iPhone, Linux, Mac, Windows

Intended Audience

Financial and Insurance Industry

Programming Language

Java

Related Categories

Java Libraries

Registered

2017-12-03

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