asavine / xlCppTutorial
Exporting C++ code to Excel : a quick and painless tutorial by Antoine Savine
☆19Updated 2 years ago
Alternatives and similar repositories for xlCppTutorial:
Users that are interested in xlCppTutorial are comparing it to the libraries listed below
- Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley,…☆20Updated 4 years ago
- ☆12Updated 8 years ago
- Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)☆175Updated 3 years ago
- C++ implementation of rBergomi model☆24Updated 6 years ago
- ☆49Updated 7 months ago
- ☆17Updated 3 years ago
- muRisQ Advisory: Interest Rate Models for Derivatives.☆12Updated 2 years ago
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆62Updated 5 years ago
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆37Updated 8 months ago
- Tutorial for the book "Algorithmic Differentiation in Finance"☆16Updated 7 years ago
- Pricing the Term Structure with Linear Regressions☆36Updated 6 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated this week
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 6 years ago
- QuantLib with adjoint algorithmic differentiation (AAD)☆46Updated 8 years ago
- Arbitrage free SVI Surface☆13Updated 6 years ago
- A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep G…☆28Updated 4 years ago
- An Excel addin for QuantLib.☆18Updated 11 months ago
- AAD enabled and scripting included derivatives modeling.☆20Updated 4 months ago
- Price response function and spread impact analysis in correlated financial markets☆15Updated 2 weeks ago
- Credit Default Swap Pricer☆17Updated last year
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆39Updated 3 years ago
- Construction of local volatility surface by using SABR☆27Updated 7 years ago
- Model Calibration with Neural Networks☆46Updated 6 years ago
- Vanna-volga pricer for fx options☆9Updated 5 years ago
- A Python implementation of the rough Bergomi model.☆115Updated 6 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆49Updated 4 years ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆77Updated 5 months ago
- Use the Finite Difference method to price European, American and Bermudan options.☆21Updated 4 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆46Updated 4 years ago
- Python Package: Fitting and Forecasting the yield curve☆36Updated 3 years ago