Metadata-Version: 2.1
Name: riskflow
Version: 0.1.2.dev0
Summary: An XVA quantitative library with AAD
Home-page: https://github.com/sylam/riskflow
Author: shuaib.osman
Author-email: shuaib.osman@investec.co.za
License: GPLv3
Platform: UNKNOWN
Classifier: Development Status :: 4 - Beta
Classifier: Intended Audience :: Developers
Classifier: Intended Audience :: Science/Research
Classifier: Programming Language :: Python :: 3.6
Requires-Python: >=3.6
Description-Content-Type: text/markdown
Requires-Dist: numpy (>=1.16)
Requires-Dist: scipy (>=1.3)
Requires-Dist: pandas (>=0.24)
Requires-Dist: matplotlib (>=2.0)
Requires-Dist: tensorflow (==1.14.0)
Requires-Dist: python-markdown-math (>=0.6)

# RiskFlow
An xVA quantitative library written in pure python using tensorflow.


## Installation
The easiest way to install riskflow is via pip

```
pip install riskflow
```

Note that this installs tensorflow 1.14 (the cpu version). If gpu's are available, please install tensorflow-gpu (also version 1.14)
Downloading the source and running setup also works.

```
python setup.py install
```

## Documentation
Documentation is available at [readthedocs](https://riskflow.readthedocs.io/en/latest/).


## Usage

There are 2 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  


## Known issues

1. The hessian (matrix of second derivatives) does not always compute - this may be a bug in tensorflow



