Sensitivity, Stress Testing, Par Conversion, Parametric and HistSim VaR, P&L Explain, Market Risk Capital (SMRC).
Official readme: readme.md
Ascot, BalanceGuaranteedSwap, BermudanSwaption, Bond, BondOption, BondRepo, BondTRS, CBO, CMS, CMSSpread, CapFloor, CapFlooredAverageBMACouponLeg, CapFlooredAverageONIndexedCouponLeg, CapFlooredIborLeg, CapFlooredOvernightIndexedCouponLeg, CappedFlooredCpiLegCashFlows, CappedFlooredCpiLegCoupons, CommodityAveragePriceBarrierOption, CommodityAveragePriceOption, CommodityForward, CommodityOption, CommodityOptionAmerican, CommodityOptionEuropeanCS, CommodityOptionForward, CommoditySpreadOption, CommoditySwap, CommoditySwaption, CommodityVarianceSwap, ConvertibleBond, CpiCapFloor, CreditDefaultSwap, CrossCurrencySwap, DurationAdjustedCMS, EquityAsianOptionArithmeticPrice, EquityAsianOptionArithmeticStrike, EquityBarrierOption, EquityCliquetOption, EquityDigitalOption, EquityDoubleBarrierOption, EquityEuropeanCompositeOption, EquityForward, EquityOption, EquityOptionAmerican, EquityOptionEuropeanCS, EquityOutperformanceOption, EquityTouchOption, EquityVarianceSwap, EuropeanSwaption, FlexiSwap, FormulaBasedCoupon, ForwardBond, FxAsianOptionArithmeticPrice, FxAsianOptionArithmeticStrike, FxBarrierOption, FxDigitalBarrierOption, FxDigitalOption, FxDigitalOptionEuropeanCS, FxDoubleBarrierOption, FxDoubleTouchOption, FxForward, FxOption, FxOptionAmerican, FxOptionEuropeanCS, FxTouchOption, FxVarianceSwap, IndexCreditDefaultSwap, IndexCreditDefaultSwapOption, QuantoEquityOption, RiskParticipationAgreement_Structured, RiskParticipationAgreement_TLock, RiskParticipationAgreement_Vanilla, RiskParticipationAgreement_Vanilla_XCcy, ScriptedTrade, SensiTrade, Swap, SyntheticCDO, YYCapFloorAscot, BalanceGuaranteedSwap, BermudanSwaption, Bond, BondOption, BondRepo, BondTRS, CBO, CMS, CMSSpread, CapFloor, CapFlooredAverageBMACouponLeg, CapFlooredAverageONIndexedCouponLeg, CapFlooredIborLeg, CapFlooredOvernightIndexedCouponLeg, CappedFlooredCpiLegCashFlows, CappedFlooredCpiLegCoupons, CommodityAveragePriceBarrierOption, CommodityAveragePriceOption, CommodityForward, CommodityOption, CommodityOptionAmerican, CommodityOptionEuropeanCS, CommodityOptionForward, CommoditySpreadOption, CommoditySwap, CommoditySwaption, CommodityVarianceSwap, ConvertibleBond, CpiCapFloor, CreditDefaultSwap, CrossCurrencySwap, DurationAdjustedCMS, EquityAsianOptionArithmeticPrice, EquityAsianOptionArithmeticStrike, EquityBarrierOption, EquityCliquetOption, EquityDigitalOption, EquityDoubleBarrierOption, EquityEuropeanCompositeOption, EquityForward, EquityOption, EquityOptionAmerican, EquityOptionEuropeanCS, EquityOutperformanceOption, EquityTouchOption, EquityVarianceSwap, EuropeanSwaption, FlexiSwap, FormulaBasedCoupon, ForwardBond, FxAsianOptionArithmeticPrice, FxAsianOptionArithmeticStrike, FxBarrierOption, FxDigitalBarrierOption, FxDigitalOption, FxDigitalOptionEuropeanCS, FxDoubleBarrierOption, FxDoubleTouchOption, FxForward, FxOption, FxOptionAmerican, FxOptionEuropeanCS, FxTouchOption, FxVarianceSwap, IndexCreditDefaultSwap, IndexCreditDefaultSwapOption, QuantoEquityOption, RiskParticipationAgreement_Structured, RiskParticipationAgreement_TLock, RiskParticipationAgreement_Vanilla, RiskParticipationAgreement_Vanilla_XCcy, ScriptedTrade, SensiTrade, Swap, SyntheticCDO, YYCapFloorScriptedTradeBalanceGuaranteedSwap, BermudanSwaption, Bond, BondTRS, CMS, CMSSpread, CMS_DEACTIVATED, CapFloor, CapFlooredIborLeg, CommodityAveragePriceOption, CommodityForward, CommodityOption, CommoditySwap, CommoditySwaption, CreditDefaultSwap, CrossCurrencySwap, EquityAsianOptionArithmeticPrice, EquityAsianOptionArithmeticStrike, EquityForward, EquityOption, EquityOptionAmerican, EquityVarianceSwap, EuropeanSwaption, FlexiSwap, FormulaBasedCoupon, ForwardBond, FxAsianOptionArithmeticPrice, FxAsianOptionArithmeticStrike, FxBarrierOption, FxDigitalBarrierOption, FxDigitalOption, FxDoubleBarrierOption, FxDoubleTouchOption, FxForward, FxOption, FxOptionAmerican, FxTouchOption, FxVarianceSwap, IndexCreditDefaultSwap, IndexCreditDefaultSwapOption, QuantoEquityOption, RiskParticipationAgreement_Structured, RiskParticipationAgreement_Vanilla, ScriptedTrade, SensiTrade, Swap, SyntheticCDO, VarianceSwap, YYCapFloorCommodityOption, CommodityOptionForward, CommoditySwapBalanceGuaranteedSwap, BermudanSwaption, Bond, BondTRS, CMS, CMSSpread, CMS_DEACTIVATED, CapFloor, CapFlooredIborLeg, CommodityAveragePriceOption, CommodityForward, CommodityOption, CommoditySwap, CommoditySwaption, CreditDefaultSwap, CrossCurrencySwap, EquityAsianOptionArithmeticPrice, EquityAsianOptionArithmeticStrike, EquityForward, EquityOption, EquityOptionAmerican, EquityVarianceSwap, EuropeanSwaption, FlexiSwap, FormulaBasedCoupon, ForwardBond, FxAsianOptionArithmeticPrice, FxAsianOptionArithmeticStrike, FxBarrierOption, FxDigitalBarrierOption, FxDigitalOption, FxDoubleBarrierOption, FxDoubleTouchOption, FxForward, FxOption, FxOptionAmerican, FxTouchOption, FxVarianceSwap, IndexCreditDefaultSwap, IndexCreditDefaultSwapOption, QuantoEquityOption, RiskParticipationAgreement_Structured, RiskParticipationAgreement_Vanilla, ScriptedTrade, SensiTrade, Swap, SyntheticCDO, VarianceSwap, YYCapFloorAscot, BalanceGuaranteedSwap, BermudanSwaption, Bond, BondOption, BondRepo, BondTRS, CBO, CMS, CMSSpread, CapFloor, CapFlooredAverageBMACouponLeg, CapFlooredAverageONIndexedCouponLeg, CapFlooredIborLeg, CapFlooredOvernightIndexedCouponLeg, CappedFlooredCpiLegCashFlows, CappedFlooredCpiLegCoupons, CommodityAveragePriceBarrierOption, CommodityAveragePriceOption, CommodityForward, CommodityOption, CommodityOptionAmerican, CommodityOptionEuropeanCS, CommodityOptionForward, CommoditySpreadOption, CommoditySwap, CommoditySwaption, CommodityVarianceSwap, ConvertibleBond, CpiCapFloor, CreditDefaultSwap, CrossCurrencySwap, DurationAdjustedCMS, EquityAsianOptionArithmeticPrice, EquityAsianOptionArithmeticStrike, EquityBarrierOption, EquityCliquetOption, EquityDigitalOption, EquityDoubleBarrierOption, EquityEuropeanCompositeOption, EquityForward, EquityOption, EquityOptionAmerican, EquityOptionEuropeanCS, EquityOutperformanceOption, EquityTouchOption, EquityVarianceSwap, EuropeanSwaption, FlexiSwap, FormulaBasedCoupon, ForwardBond, FxAsianOptionArithmeticPrice, FxAsianOptionArithmeticStrike, FxBarrierOption, FxDigitalBarrierOption, FxDigitalOption, FxDigitalOptionEuropeanCS, FxDoubleBarrierOption, FxDoubleTouchOption, FxForward, FxOption, FxOptionAmerican, FxOptionEuropeanCS, FxTouchOption, FxVarianceSwap, IndexCreditDefaultSwap, IndexCreditDefaultSwapOption, QuantoEquityOption, RiskParticipationAgreement_Structured, RiskParticipationAgreement_TLock, RiskParticipationAgreement_Vanilla, RiskParticipationAgreement_Vanilla_XCcy, ScriptedTrade, SensiTrade, Swap, SyntheticCDO, YYCapFloorMyInstrument, ScriptedTrade, SwapCapFlooredIborLeg, CreditDefaultSwap, CrossCurrencySwap, Swap