Taxonomy.md

DROP Project | Library | Module Layout

Analytics Core Module

• 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.
    • { Home | Project }
  • Dynamics => HJM, Hull-White, LMM, and SABR Dynamic Evolution Models.
    • { Home | Project }
  • Market => Static Market Fields - the Definitions, the OTC/Exchange Traded Products, and the Treasury Settings.
    • { Home | Project }
  • Param => Core Suite of Parameters - Product Cash Flow, Valuation, Market, Pricing, and Quoting Parameters.
    • { Home | Project }
  • Pricer => Custom Pricing Algorithms and the Derivative Fokker Planck Trajectory Generators.
    • { Home | Project }
  • Product => Product Components/Baskets for Credit, FRA, FX, Govvie, Rates, and Option Asset Classes.
    • { Home | Project }
  • State => Latent State Inference and Creation Utilities.
    • { Home | Project }
  • Template => Pricing/Risk Templates for Fixed Income Products.
    • { Home | Project }
• Asset Backed Analytics Library => Valuation and Risk Functionality for Asset Backed and Mortgage Backed Securities.
  • Asset Backed => Asset Backed Borrower and Loan Level Characteristics.
    • { Home | Project }
• XVA Analytics Library => Utilities to generate various Valuation Adjustments (Collateral VA/CVA/DVA/FBA/FCA/FVA/MVA/XVA).
  • XVA => Valuation Adjustments that account for Collateral, CC Credit/Debt and Funding Overhead.
    • { Home | Project }
• Exposure and Margin Analytics Library => Computes the Scenario Exposures at the specified Trade Group Granularity.
  • Exposure => Exposure Group Level Collateralized/Uncollateralized Exposure.
    • { Home | Project }
  • SIMM => Initial Margin Analytics based on ISDA SIMM and its Variants.
    • { Home | Project }

Portfolio Core Module

• Asset Allocation Analytics Library => Optimal Portfolio Construction and Asset Allocation Functionality.
  • Portfolio Construction => Optimal and Constrained Portfolio Construction Functionality.
    • { Home | Project }
• Transaction Cost Analytics Library => Estimating Single Trade/Portfolio Execution Cost, and corresponding Optimal Trajectories.
  • Execution => Optimal Impact/Capture Based Trading Trajectories - Deterministic, Stochastic, Static, and Dynamic.
    • { Home | Project }

Numerical Core Module

• Model Validation Library => Functionality for Statistical Hypotheses Validation and Testing.
  • Validation => Statistical Hypotheses Evidence Processing and Testing.
    • { Home | Project }
• Spline Builder Library => Functionality for constructing Spline Based Curves and Surfaces.
  • Spline => Basis Splines and Linear Compounders across a Broad Family of Spline Basis Functions.
    • { Home | Project }
• Statistical Learning Library => Statistical Learning Analyzers and Machine Learning Schemes.
  • Learning => Agnostic Learning Bounds under Empirical Loss Minimization Schemes.
    • { Home | Project }
  • Sequence => Bounds Metrics for Random, Custom, and Functional Sequences.
    • { Home | Project }
  • Spaces => R¹ and R^d Vector/Tensor Spaces (Validated and/or Normed), and Function Classes off of them.
    • { Home | Project }
• Numerical Optimizer Library => Functionality for Numerical Methods - including R^x Solvers, Linear Algebra, and Constrained Optimizers.
  • Function => Implementation and Solvers for a Suite of R^x To R¹ Functions.
    • { Home | Project }
  • Measure => Continuous and Discrete Measure Distributions and Variate Evolutions.
    • { Home | Project }
  • Optimization => Necessary, Sufficient, and Regularity Checks for Gradient Descent in a Constrained Optimization Setup.
    • { Home | Project }
  • Quant => Suite of DROP Linear Algebra Utilities.
    • { Home | Project }
• Algorithm Support Library
  • Feed => Functionality to load, transform, and compute target metrics across feeds.
    • { Home | Project }
  • Historical => Historical State Processing Utilities.
    • { Home | Project }
  • JSON => Implementation of the RFC-4627 Compliant JSON Encoder/Decoder (Parser).
    • { Home | Project }
  • Regression => Regression Test Runs for Fixed Income, Numerical Analysis, and Spline Libraries.
    • { Home | Project }
  • Service => Environment, Product/Definition Containers, and hosts the Scenario/State Manipulation APIs.
    • { Home | Project }