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Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics

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lakshmiDRIP/DROP

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DROP

v6.50 30 August 2024

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

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Git
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Join the chat at https://gitter.im/lakshmiDRIPDROP

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Documentation Status Javadoc Other

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Repo Structure

Module, Library, and Project Layout

Project Home Issues Library Module
alm README Git Asset Liability Analytics Portfolio
analytics README Git Fixed Income Analytics Product
capital README Git Capital Analytics Portfolio
dynamics README Git Fixed Income Analytics Product
execution README Git Transaction Cost Analytics Product
exposure README Git Exposure Analytics Portfolio
feed README Git Computation Support Computational
function README Git Numerical Analysis Computational
graph README Git Numerical Analysis Computational
historical README Git Computation Support Computational
json README Git Computation Support Computational
learning README Git Statistical Learning Computational
loan README Git Loan Analytics Product
market README Git Fixed Income Analytics Product
measure README Git Numerical Analysis Computational
numerical README Git Numerical Analysis Computational
optimization README Git Numerical Optimizer Computational
param README Git Fixed Income Analytics Product
portfolio construction README Git Asset Allocation Analytics Portfolio
pricer README Git Fixed Income Analytics Product
product README Git Fixed Income Analytics Product
regression README Git Computation Support Computational
sequence README Git Statistical Learning Computational
service README Git Computation Support Computational
simm README Git Margin Analytics Portfolio
spaces README Git Statistical Learning Computational
special function README Git Function Analysis Computational
spline README Git Spline Builder Computational
state README Git Fixed Income Analytics Product
template README Git Fixed Income Analytics Product
validation README Git Model Validation Computational
xva README Git XVA Analytics Portfolio

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

[email protected]

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