RiskFlow

An xVA quantitative library written in pure python using pytorch

Installation

The easiest way to install riskflow is via pip

pip install riskflow

The minimum required version is pytorch 1.8. It is highly recommended to install pytorch with gpu support. Downloading the source and running setup also works.

python setup.py install

Documentation

Documentation is available at readthedocs.

Usage

There are 3 batch scripts installed :

• RF_Batch runs CVA, CollVA and FVA calculations on a folder of netting sets
• RF_Bootstrap currently only calculates hull white 2 factor parameters from swaption vols
• RF_Docs generates the documentation from the ./docs_src folder into the ./docs folder

Known issues

1. Documentation still work in progress