Description

OpenRedukti is a C++ library for working with Interest Rate Derivative products such as Interest Rate Swaps, and FRAs. It allows you to build Interest Rate curves with different interpolation methods, and then use these curves to compute present value and sensitivities of Interest Rate Derivatives. A scripting environment in a Lua like language (Ravi) is provided. OpenRedukti is Free Software, licensed under the GNU General Public License, v3.