DiffFusion.jl [∂F]

Documentation for DiffFusion.jl.

The DiffFusion.jl package implements a framework for joint simulation of financial risk factors, risk-neutral valuation of financial instruments and calculation of portfolio risk measures.

The intended purpose of the package is efficient exposure simulation for XVA and Counterparty Credit Risk (CCR).

Repository

The code for DiffFusion.jl is hosted at github.com/frame-consulting/DiffFusion.jl.

Installation

The most recent version of the package can be installed via

using Pkg; Pkg.add(url="https://github.com/frame-consulting/DiffFusion.jl")

Unit tests can be run via

Pkg.test("DiffFusion")

For details on the functionality, see the Overview page.

For questions please contact info@frame-consult.de.

Getting Started

The best way of getting started with the DiffFusion framework is to have a look at the test suite.

An example for exposure simulation of a Vanilla swap portfolio is implemented in the scenario generation component test.

Individual examples on model, simulation and product setup can be found in the unit tests.