compatibl / QuantLibAdjoint
QuantLib with adjoint algorithmic differentiation (AAD)
☆47Updated 9 years ago
Alternatives and similar repositories for QuantLibAdjoint:
Users that are interested in QuantLibAdjoint are comparing it to the libraries listed below
- Scalar and vector adjoint algorithmic differentiation (AAD)☆29Updated 8 years ago
- QuantLib ported to C++17 and with all Boost dependency removed☆74Updated 7 years ago
- Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)☆177Updated 3 years ago
- A high-performance, open-source, header-only C++(>=11) library for pricing derivatives.☆58Updated 2 years ago
- Tutorial for the book "Algorithmic Differentiation in Finance"☆16Updated 7 years ago
- ☆49Updated 9 months ago
- A transparent platform for pricing and risk analytics☆7Updated 8 years ago
- Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley,…☆21Updated 4 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
- kdb+ integration with Apache Arrow and Parquet☆29Updated 10 months ago
- ☆12Updated 8 years ago
- header only essentials of QuantLib☆25Updated 7 years ago
- Model Calibration with Neural Networks☆46Updated 6 years ago
- FIX library generated with C++ PreProcessor to be used in latency sensitive context.☆29Updated 2 weeks ago
- Exporting C++ code to Excel : a quick and painless tutorial by Antoine Savine☆20Updated 2 years ago
- ☆41Updated 9 years ago
- Fast Unit Root Tests and OLS regression in C++ with wrappers for R and Python☆91Updated 3 years ago
- Docker images for QuantLib CI☆23Updated last year
- ☆12Updated last year
- Price response function and spread impact analysis in correlated financial markets☆15Updated 2 months ago
- Fast risks with QuantLib in C++☆21Updated 5 months ago
- Source code for 'Options and Derivatives Programming in C++' by CARLOS OLIVEIRA☆35Updated 8 years ago
- C++ Trading Algorithm Backtest Environment☆86Updated 6 years ago
- ☆49Updated last year
- Helix, a market data feed handler for C and C++.☆114Updated 7 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
- C++ trading client with Qt gui☆40Updated 10 years ago
- Financial security modelling with Python and QuantLib☆34Updated 10 years ago
- Scala OrderBook Reconstructor for high-frequency order-flow data☆16Updated last year