asavine / xlCppTutorialLinks
Exporting C++ code to Excel : a quick and painless tutorial by Antoine Savine
☆20Updated 2 years ago
Alternatives and similar repositories for xlCppTutorial
Users that are interested in xlCppTutorial are comparing it to the libraries listed below
Sorting:
- Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)☆183Updated 3 years ago
- Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley,…☆23Updated 4 years ago
- ☆50Updated last year
- QuantLib with adjoint algorithmic differentiation (AAD)☆49Updated 9 years ago
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆65Updated 5 years ago
- Tutorial for the book "Algorithmic Differentiation in Finance"☆16Updated 7 years ago
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆40Updated last year
- ☆12Updated 8 years ago
- Arbitrage free SVI Surface☆14Updated 7 years ago
- Credit Default Swap Pricer☆18Updated last year
- A high-performance, open-source, header-only C++(>=11) library for pricing derivatives.☆59Updated 2 years ago
- A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep G…☆28Updated 5 years ago
- AAD enabled and scripting included derivatives modeling.☆22Updated last week
- Matlab Financial Engineering Toolkit☆9Updated 8 years ago
- C++ implementation of rBergomi model☆24Updated 7 years ago
- Reimplementing QuantLib examples by Python☆64Updated 2 years ago
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆38Updated 3 weeks ago
- An xVA quantitative library written in python using tensorflow☆18Updated 3 weeks ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆48Updated 4 years ago
- Quant Research☆82Updated 4 months ago
- muRisQ Advisory: Interest Rate Models for Derivatives.☆13Updated 2 years ago
- Code repository for Pricing and Trading Interest Rate Derivatives☆93Updated 2 years ago
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆235Updated 5 months ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 5 years ago
- A Python implementation of the rough Bergomi model.☆121Updated 6 years ago
- Jupyter notebooks of "Financial Numerical Recipes in C++" written in Python☆16Updated 8 years ago
- Source Code for Data Mining Algorithms in C++ by Timothy Masters☆36Updated 7 years ago
- Model Calibration with Neural Networks☆48Updated 7 years ago
- ☆17Updated 3 years ago
- PYBOR is multi-curve interest rate framework and risk engine based on multivariate optimization techniques, written in Python☆41Updated last year