compatibl / QuantLibAdjointLinks
QuantLib with adjoint algorithmic differentiation (AAD)
☆50Updated 9 years ago
Alternatives and similar repositories for QuantLibAdjoint
Users that are interested in QuantLibAdjoint are comparing it to the libraries listed below
Sorting:
- A high-performance, open-source, header-only C++(>=11) library for pricing derivatives.☆60Updated 2 years ago
- QuantLib ported to C++17 and with all Boost dependency removed☆75Updated 8 years ago
- Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)☆186Updated 4 years ago
- Tutorial for the book "Algorithmic Differentiation in Finance"☆16Updated 8 years ago
- ☆52Updated last year
- header only essentials of QuantLib☆24Updated 7 years ago
- Scalar and vector adjoint algorithmic differentiation (AAD)☆29Updated 8 years ago
- Fast Unit Root Tests and OLS regression in C++ with wrappers for R and Python☆92Updated 3 years ago
- Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley,…☆24Updated 4 years ago
- A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep G…☆29Updated 5 years ago
- Docker images for QuantLib CI☆23Updated 2 years ago
- Model Calibration with Neural Networks☆48Updated 7 years ago
- muRisQ Advisory: Interest Rate Models for Derivatives.☆14Updated 2 years ago
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆67Updated 5 years ago
- kdb+ integration with Apache Arrow and Parquet☆32Updated 5 months ago
- C++ trading client with Qt gui☆42Updated 10 years ago
- Helix, a market data feed handler for C and C++.☆117Updated 7 years ago
- C++ multi-dimensional labeled arrays and dataframe based on xtensor☆323Updated last year
- Source code for 'Options and Derivatives Programming in C++' by CARLOS OLIVEIRA☆35Updated 8 years ago
- ☆41Updated 10 years ago
- Financial security modelling with Python and QuantLib☆33Updated 11 years ago
- Example data capture system, based on random financial data☆70Updated 4 months ago
- ☆28Updated 10 years ago
- C++ Trading Algorithm Backtest Environment☆91Updated 7 years ago
- ☆12Updated 2 years ago
- C++ implementation of options pricing models☆76Updated 7 years ago
- Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics☆130Updated this week
- C++ class to connect to kdb+☆18Updated 7 years ago
- C++ API for the TeaFile File Format. TeaFiles is Time Series Persistence in Flat Files.☆60Updated 4 years ago
- Companion files to the kdb+ Knowledge Base☆84Updated last year