DROP

v6.50 30 August 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.

Pointers

Repo Structure

Module, Library, and Project Layout

Project	Home	Issues	Library	Module
alm	README	Git	Asset Liability Analytics	Portfolio
analytics	README	Git	Fixed Income Analytics	Product
capital	README	Git	Capital Analytics	Portfolio
dynamics	README	Git	Fixed Income Analytics	Product
execution	README	Git	Transaction Cost Analytics	Product
exposure	README	Git	Exposure Analytics	Portfolio
feed	README	Git	Computation Support	Computational
function	README	Git	Numerical Analysis	Computational
graph	README	Git	Numerical Analysis	Computational
historical	README	Git	Computation Support	Computational
json	README	Git	Computation Support	Computational
learning	README	Git	Statistical Learning	Computational
loan	README	Git	Loan Analytics	Product
market	README	Git	Fixed Income Analytics	Product
measure	README	Git	Numerical Analysis	Computational
numerical	README	Git	Numerical Analysis	Computational
optimization	README	Git	Numerical Optimizer	Computational
param	README	Git	Fixed Income Analytics	Product
portfolio construction	README	Git	Asset Allocation Analytics	Portfolio
pricer	README	Git	Fixed Income Analytics	Product
product	README	Git	Fixed Income Analytics	Product
regression	README	Git	Computation Support	Computational
sequence	README	Git	Statistical Learning	Computational
service	README	Git	Computation Support	Computational
simm	README	Git	Margin Analytics	Portfolio
spaces	README	Git	Statistical Learning	Computational
special function	README	Git	Function Analysis	Computational
spline	README	Git	Spline Builder	Computational
state	README	Git	Fixed Income Analytics	Product
template	README	Git	Fixed Income Analytics	Product
validation	README	Git	Model Validation	Computational
xva	README	Git	XVA Analytics	Portfolio

Installation

Installation is as simple as building a jar and dropping into the classpath. There are no other dependencies.

Samples

Java Samples | Excel Samples | Test Data

Documentation

Javadoc API | DROP Specifications | Release Notes | User guide is a work in progress!

Misc

JUnit Tests | Jacoco Coverage | Jacoco Session | Credit Attributions | Version Specifications

Contact

[email protected]