auto-differentiation / QuantLib-Risks-CppLinks
Fast risks with QuantLib in C++
☆32Updated last month
Alternatives and similar repositories for QuantLib-Risks-Cpp
Users that are interested in QuantLib-Risks-Cpp are comparing it to the libraries listed below
Sorting:
- QuantLib ported to C++17 and with all Boost dependency removed☆76Updated 8 years ago
- Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)☆188Updated 4 years ago
- C++ implementation of options pricing models☆76Updated 7 years ago
- C++ 17 based library (with sample applications) for testing equities, futures, currencies, etfs & options based automated trading ideas u…☆612Updated this week
- C++ implementation of a Dynamic Delta Hedging strategy for European Options. Delta Hedging is a great strategy for trying to create a neu…☆14Updated 3 years ago
- C++ Trading Algorithm Backtest Environment☆95Updated 7 years ago
- Derivatives pricing in modern C++.☆16Updated 3 years ago
- AAD enabled and scripting included derivatives modeling.☆22Updated last month
- Nasdaq Order Book Reconstructor☆257Updated 4 years ago
- High-throughput / low-latency C++ application framework☆70Updated 3 years ago
- ☆59Updated last year
- High-Performance Automatic Differentiation for Python☆19Updated last year
- A minimalist, low-latency, HFT CME MDP3.0 C++ market data feed handler and pcap file reader (MDP 3.0)☆48Updated last year
- ☆55Updated last year
- The official C++ client library for Databento☆59Updated this week
- Quantitative finance example applications on GPUs using portable programming models.☆81Updated last year
- QuantLib wrappers to other languages☆372Updated this week
- C++ low-latency in-memory order book☆92Updated 12 years ago
- QuantLib with adjoint algorithmic differentiation (AAD)☆49Updated 9 years ago
- Implementation of a orderbook data structure for LOB research capabilities.☆158Updated last year
- real high-frequency-trading system based on c++☆110Updated 6 years ago
- Open Source Risk Engine☆618Updated 2 weeks ago
- Improved TWS API POSIX C++ library for the Interactive Brokers (IB) TWS (same project as TwsApiC++ in Yahoo TWSAPI).☆117Updated 2 years ago
- A C++ ultra low latency trading engine with O(1) performance of order execution, order update, order cancel, O(log(n)) for order book ana…☆49Updated 4 years ago
- C++ examples.☆165Updated this week
- A high performance map.☆103Updated 5 years ago
- FIX library generated with C++ PreProcessor to be used in latency sensitive context.☆31Updated 8 months ago
- DistributedATS is a FIX Protocol based multi matching engine exchange(CLOB) that integrates QuickFIX and LiquiBook over DDS☆93Updated this week
- Financial Information Exchange Protocol C++ Library☆304Updated last year
- A C++ 20 backtesting library.☆41Updated 8 months ago