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v6.39 22June 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.
Module, Library, and Project Layout
Installation is as simple as building a jar and dropping into the classpath. There are no other dependencies.
Java Samples | Excel Samples | Test Data
Javadoc API | DROP Specifications | Release Notes | User guide is a work in progress!
JUnit Tests | Jacoco Coverage | Jacoco Session | Credit Attributions | Version Specifications
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Fixed Income Analytics Library => Valuation and Risk Functionality of the Principal Asset Classes, i.e., Equity, Rates, Credit, FX, Commodity, and their Hybrids.
- Analytics => Date, Cash Flow, and Cash Flow Period Measure Generation Utilities.
- Dynamics => HJM, Hull-White, LMM, and SABR Dynamic Evolution Models.
- Market => Static Market Fields - the Definitions, the OTC/Exchange Traded Products, and the Treasury Settings.
- Param => Core Suite of Parameters - Product Cash Flow, Valuation, Market, Pricing, and Quoting Parameters.
- Pricer => Custom Pricing Algorithms and the Derivative Fokker Planck Trajectory Generators.
- Product => Product Components/Baskets for Credit, FRA, FX, Govvie, Rates, and Option Asset Classes.
- State => Latent State Inference and Creation Utilities.
- Template => Pricing/Risk Templates for Fixed Income Products.
- Loan Analytics => Valuation and Risk Functionality for Asset Backed and Mortgage Backed Securities.
- Transaction Cost Analytics => Functionality to estimate single Trade/Portfolio Execution Cost, and corresponding Optimal Trajectories.
- Asset Allocation Analytics => Optimal Portfolio Construction and Asset Allocation Functionality.
- Asset Liability Analytics => Asset Liability Analytics Functionality.
- Capital Analytics => Economic Risk Capital and Basel Operational Capital Analytics.
- Exposure Analytics => Scenario Exposures at the specified Trade Group Granularity.
- Margin Analytics => Initial and Variation Margin Analytics.
- XVA Analytics => Valuation Adjustments (Collateral VA/CVA/DVA/FBA/FCA/FVA/MVA/XVA).
- Function Analysis => Special Function and their Analysis.
- Graph Algorithm => Graph Representation and Path Traversal.
- Model Validation Library => Functionality for Statistical Hypotheses Validation and Testing.
- Numerical Analysis => Functionality for Numerical Methods - including Rx Solvers, Linear Algebra, and Statistical Measure Distributions.
- Numerical Optimizer Library => Functionality for Numerical Optimization - including Constrained and Mixed Integer Non-Linear Optimizers.
- Spline Builder Library => Functionality for constructing Spline Based Curves and Surfaces.
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Statistical Learning Library => Statistical Learning Analyzers and Machine Learning Schemes.
- Learning => Agnostic Learning Bounds under Empirical Loss Minimization Schemes.
- Sequence => Bounds Metrics for Random, Custom, and Functional Sequences.
- Spaces => R1 and Rd Vector/Tensor Spaces (Validated and/or Normed), and Function Classes off of them.
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Computation Support Library
- Feed => Functionality to load, transform, and compute target metrics across feeds.
- Historical => Historical State Processing Utilities.
- JSON => Implementation of the RFC-4627 Compliant JSON Encoder/Decoder (Parser).
- Regression => Regression Test Runs for Fixed Income, Numerical Analysis, and Spline Libraries.
- Service => Environment, Product/Definition Containers, and hosts the Scenario/State Manipulation APIs.