auto-differentiation / QuantLib-Risks-Cpp
Fast risks with QuantLib in C++
☆23Updated 3 weeks ago
Alternatives and similar repositories for QuantLib-Risks-Cpp:
Users that are interested in QuantLib-Risks-Cpp are comparing it to the libraries listed below
- Derivatives pricing in modern C++.☆15Updated 2 years ago
- AAD enabled and scripting included derivatives modeling.☆22Updated this week
- 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…☆45Updated 4 years ago
- QuantLib ported to C++17 and with all Boost dependency removed☆74Updated 7 years ago
- High-throughput / low-latency C++ application framework☆67Updated 2 years ago
- FIX library generated with C++ PreProcessor to be used in latency sensitive context.☆29Updated last month
- C++ implementation of options pricing models☆77Updated 7 years ago
- C++ Trading Algorithm Backtest Environment☆88Updated 6 years ago
- A minimalist, low-latency, HFT CME MDP3.0 C++ market data feed handler and pcap file reader (MDP 3.0)☆45Updated 6 months ago
- QuantLib with adjoint algorithmic differentiation (AAD)☆48Updated 9 years ago
- ☆50Updated last year
- C++ low-latency in-memory order book☆89Updated 11 years ago
- C++ implementation of a Dynamic Delta Hedging strategy for European Options. Delta Hedging is a great strategy for trying to create a neu…☆12Updated 2 years ago
- High-performance C++ implementation of critical option pricing models: Black-Scholes, Binomial, Finite Difference, and Monte Carlo.☆11Updated last year
- Quantitative finance example applications on GPUs using portable programming models.☆64Updated 10 months ago
- Event-driven backtesting engine written in C++☆9Updated 7 months ago
- Reimplementing QuantLib examples by Python☆61Updated 2 years ago
- C++ implementation of rBergomi model☆24Updated 6 years ago
- Multithreaded order matching engine in C++11 using FIX protocol for Linux/Windows☆38Updated 9 years ago
- The official C++ client library for Databento☆41Updated this week
- Implementation of a orderbook data structure for LOB research capabilities.☆145Updated last year
- Python repository with various projects in Machine Learning and Finance☆12Updated 3 weeks ago
- Coding exercise I did ages ago for a Jump Trading interview☆31Updated 11 years ago
- Yet another HFT framework☆41Updated last month
- High-Performance Automatic Differentiation for Python☆12Updated 7 months ago
- Algorithmic Trading in C++☆38Updated 3 years ago
- ☆49Updated 10 months ago
- Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)☆180Updated 3 years ago
- muRisQ Advisory: Interest Rate Models for Derivatives.☆13Updated 2 years ago
- C++ examples.☆162Updated 3 weeks ago