This package enables fast risks calculations on the QuantLib Python package.
It provides the same interface as the [standard QuantLib package](https://pypi.org/project/QuantLib/), and in addition allows to calculate risks (sensitivities) using automatic differentiation via the [XAD automatic differentiation tool](https://auto-differentation.github.io).
Useful links:
- [QuantLib Documentation](https://www.quantlib.org)
- [XAD Documentation, incl Python bindings and QuantLib integration](https://auto-differentiation.github.io/quantlib-risks/python/)
## Installation
```
pip install QuantLib-Risks
```
## Usage Illustration
```python
import QuantLib_Risks as ql
from xad.adj_1st import Tape
with Tape() as t:
rate = ql.Real(0.2)
tape.registerInput(rate)
# quantlib pricing code
...
npv = option.NPV()
tape.registerOutput(npv)
npv.derivative = 1.0
tape.computeAdjoints()
print(f"price = {npv}")
print(f"delta = {rate.derivative}")
```
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