An xVA quantitative library written in pure python using pytorch
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 is available at readthedocs.
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
- Documentation is out of date