Deep Risk Intelligence Platform (DRIP)

Lakshmi Krishnamurthy and Arijit Das
v2.3 7 April 2015

DRIP is a deep, strong and comprehensive - Open Source - risk analytics platform that offers valuation and risk management of multi-asset, multi-currency derivatives and fixed income instruments and portfolios. In such capacity it offers a huge array of analytics solutions for simple to highly complex derivative and fixed-income trades, as well as multi-asset, multi-currency portfolios and hybrids.

It is a complete end to end trade cycle analytics suite that can be used in banks and hedge funds from single specific units to organization-wide deployments depending on demand and scope: from price discovery to settlement; we believe it will deliver unrivalled performance for valuation and risk combining cutting edge technology with ease of use. It can be also integrated with a firm's existing system and therefore provides tremendous flexibility to users.

DRIP has integrated cutting edge analytics and math after applying years of research by a dedicated team and implementing them in several iterations after incorporating feedback from an equally dedicated band of open source users. The framework is ultra- stable and capable of handling almost all kinds of financial instruments thrown at it.

In essence, DRIP CreditSuite suite of libraries aim to provide an exhaustive open source analytics and trading/valuation system solution suite for financial instruments as explained above. To this end, it implements its functionality over 5 main libraries – CreditProduct, CreditAnalytics, CurveBuilder, SplineLibrary, SensitivityGenerator, FixedPointFinder, and RegressionSuite.

The main challenges that DRIP CreditSuite attempts to address are:
* Implementation of day count conventions, holidays calendars, and rule-based period generators
* Abstract the functionality behind curves, parameters, and products onto defined interfaces
* Unified/standardized methods for curve calibrations, parameter and product implementers and constructors
* Environmental system to hold live ticks, closing marks, and reference data containers
* Enhanced analytics testing
* Ease of usage, installation, and deployment

DRIP aims to bring the aspects mentioned above together in one Open Source implementation that readily integrates onto existing systems.

The libraries the constitute DRIP CreditSuite are:
* CreditProduct Focused on the core analytics, and the curve, the parameter, and the product definitions.
* CreditAnalytics Concerned with the construction and the implementation of the interfaces defined in CreditProduct, analytics environment management, and functional distribution.
* CurveBuilder Provides the functionality for highly customized discount, forward, credit, and FX curve construction, customized with wide variety of basis splines, calibration instrument types and measures.
* SplineLibrary Provides the functionality for building, calibrating, and evaluating different kinds of splines for use in latent state representation.
* SensitivityGenerator Details the techniques and methodologies behind the sensitivity generation software employed in Credit Analytics.
* FixedPointFinder Provides the implementation of all the standard bracketing and open root finding techniques, along with a customizable and configurable framework that separates the initialization/bracketing functionality from the eventual root search.
* RegressionSuite This aims to ease testing of analytics, measurement and generation of the execution time distribution, as well as release performance characterization.

Download DRIP CreditSuite binary along with the complete DRIP CreditSuite source from the link here. Samples folder contains a comprehensive set of samples.

To install DRIP CreditSuite, drop it into the class-path. Use Config.xml to configure custom holidays.

The Oracle ODBC driver is optional – it is used for the ref data connection.

Detailed documentation and downloads for DRIP CreditSuite may be found here.

Licence

DRIP CreditSuite is distributed under the Apache 2.0 licence - please see the attached Licence for details.

Contributors

Michael Beer
Manjunath Boraiah
Luis Cota
Arijit Das
Abraham Gulko
Lakshmi Krishnamurthy
Warren Master
Giacomo Sergio
Bjoern Weidlich

Last edited Apr 8, 2015 at 10:09 AM by arijitd, version 12