We are developing solutions for the OTC Clearing market place that will lead to reductions in cost, complexity and operational inefficiencies for market participants.
We have decided to release some parts of the MyCCP product as OpenSource. This note is about the first of these releases.
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.
OpenRedukti is Free Software, licensed under the GNU General Public License, v3. If you wish to use OpenRedukti under a non-GPL license, you can raise an issue on GitHub repository. A liberal license will be granted to your company at zero cost, provided you agree to allow your company to be listed as a user of OpenRedukti. Please visit the GitHub site for additional information.