https://github.com/auto-differentiation/QuantLib-Risks-Cpp

Fast risks with QuantLib in C++
https://github.com/auto-differentiation/QuantLib-Risks-Cpp

algorithmic-differentiation quantitative-finance risk-analysis

Last synced: about 2 months ago
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Fast risks with QuantLib in C++

• Host: GitHub
• URL: https://github.com/auto-differentiation/QuantLib-Risks-Cpp
• Owner: auto-differentiation
• Created: 2022-07-07T17:00:59.000Z (almost 2 years ago)
• Default Branch: main
• Last Pushed: 2024-04-05T08:42:11.000Z (2 months ago)
• Last Synced: 2024-04-05T14:58:24.166Z (2 months ago)
• Topics: algorithmic-differentiation, quantitative-finance, risk-analysis
• Language: C++
• Homepage: https://auto-differentiation.github.io
• Size: 143 KB
• Stars: 12
• Watchers: 1
• Forks: 3
• Open Issues: 1
• Metadata Files:
  • Readme: README.md
  • Changelog: CHANGELOG.md
  • Contributing: CONTRIBUTING.md
  • Code of conduct: CODE_OF_CONDUCT.md

Lists

• awesome-quant - QuantLib with Automatic Differention enabled - Integration of Automatic Differentiation with the QuantLib library (Frameworks / Data Visualization)

README

        
# QuantLib-Risks: QuantLib with XAD Automatic Differentiation in C++



    

        

    

    

        

    



As a demonstrator of integration of the [XAD automatic differentiation tool](https://auto-differentiation.github.io) with real-world code, 

the latest release of QuantLib can calculate risks with the help of XAD. 

The performance achieved on sample applications is many-fold superior to what has been reported previously with other tools. 

This demonstrates production quality use of the XAD library in a code-base of several hundred thousand lines.

This repository contains integration headers, examples, and tests required

for this integration.

It is not usable stand-alone.

## Getting Started

For detailed build instructions with [XAD](https://auto-differentiation.github.io) and [QuantLib](https://www.quantlib.org), please refer to the [XAD documentation site](https://auto-differentiation.github.io/quantlib-risks/cxx/).

## Getting Help

If you have found an issue, want to report a bug, or have a feature request, please raise a [GitHub issue](https://github.com/auto-differentiation/QuantLib-Risks-Cpp/issues).

For general questions about XAD, sharing ideas, engaging with community members, etc, please use [GitHub Discussions](https://github.com/auto-differentiation/QuantLib-Risks-Cpp/discussions).

## Contributing

Please read [CONTRIBUTING](CONTRIBUTING.md) for the process of contributing to this project.

Please also obey our [Code of Conduct](CODE_OF_CONDUCT.md) in all communication.

## Related Projects

- XAD Comprehensive automatic differentiation in [Python](https://github.com/auto-differentiation/xad-py) and [C++](https://github.com/auto-differentiation/xad)

- QuantLib-Risks: Fast risk evaluations in [Python](https://github.com/auto-differentiation/QuantLib-Risks-Py) and [C++](https://github.com/auto-differentiation/QuantLib-Risks-Cpp)

## Planned Features

- Gradually port more of the QuantLib tests and add AAD-based sensitivity calculation

- Add more Examples

## Authors

-   Various contributors from Xcelerit

-   See also the list of [contributors](https://github.com/auto-differentiation/QuantLib-Risks-Cpp/contributors) who participated in the project.

## License

Due to the nature of this repository, two different licenses have to be used for 

different part of the code-base.

The [tests](test-suite/) and [examples](Examples/) folders are containing code taken

and modified from QuantLib where the [QuantLib license](test-suite/LICENSE.TXT) applies.

The [ql](ql/) folder contains adaptor modules for XAD,

where the [GNU AGPL](ql/LICENSE.md) applies.

This is clearly indicated by having separate license files in each folder.