Welcome to RiskFlow

RiskFlow is a python framework for performing derivatives pricing and related quantitative finance by utilizing google's tensorflow library. Riskflow is designed to work either on CPU's or nvidia GPU's via CUDA.

Features

• Fast prototyping and interactive scripting of new instruments in Python
• Theoretical documentation for the pricing and simulation of financial derivatives
• Monte Carlo simulation of a portfolio of trades through time allowing fast $XVA$ calculations
• Automatic Derivatives for sensitivities calculation via tensorflow

Motivation

Similar to other open source quantitative finance libraries (like quantlib), the motivations for RiskFlow are:

• Stop re-inventing the wheel. Robust implementations of standard pricing functions (like Black Scholes) have been written multiple times and as a result of regulation, have had to be independently validated as many times.
• Encouraging open collaboration via the philosophy of open source software.

Libraries like quantlib already do an excellent job of the above. RiskFlow attempts to also:

• Make use of modern GPU's to perform full portfolio monte carlo simulation.
• Provide theoretical documentation as part of the library thereby encouraging model validation (which can then be added to the library).
• Standardize the way in which market and trade data is loaded and stored in the form of JSON files.
• Offer a simpler alternative to quantlib by utilizing python as its main development language.