This is the Github page of FRAME Consulting GmbH, Berlin.
FRAME Consulting is a boutique consulting firm specialised in financial risk management methods and applications.
We develop and use applications and tools with state-of-the art quantitative models and technologies.
For questions on our applications, tool and service offerings please get in touch via info@frame-consult.de.
We develop an open source exposure simulation engine for XVA and CCR. Key objectives are computational performance and flexibility in terms of model and product design.
Details about the features are elaborated in the package documentation.
The DiffFusionServer.jl package provides a REST API and server app for the DiffFusion.jl exposure simulation engine. The API allows using the simulation engine independent of the client software stack. In particular, no local Julia installation is required.
Communication is established via HTTP requests and JSON data exchange. The DiffFusionServer can conveniently be used via Docker.
An open source multi-tenant risk system based on JSON risk featuring
- support for all JSON risk instruments and features
- data backend with storage of market data, portfolios, scenarios, timeseries and more
- support for ad-hoc calculations in the browser on client hardware
- support for batch calculations on the server hardware
- straightforward multi-tenant and cluster setup
- simple identity and access management supporting passwordless login
- flexible extension framework
We maintain forks of the open source QuantLib library and its interfaces to Python, Excel and other high-level languages.
Our repositories include several additional models which were developed as part of research projects. The additions are rebased on the recent releases of the official repositories.
If you are interested in our QuantLib extensions, please get in touch via mail.
