Heads up - FD engine enhancements

[Joseph Wang-4]

Just a heads up.  I'm working on some enhancements to the FD engine
that will let you pull the entire greeks curves from one calculation.
All of the math is there, it's just a matter of adding the interfaces
to the engine so that I can pull out the data.

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[cheng li]

Hi Joseph,

So is it the similar algorithmic differentiation approach for FD?

Regards,
Cheng
-----邮件原件-----
发件人: Joseph Wang [mailto:[hidden email]]
发送时间: 2015年3月15日 15:16
收件人: [hidden email]
主题: [Quantlib-dev] Heads up - FD engine enhancements

Just a heads up.  I'm working on some enhancements to the FD engine that
will let you pull the entire greeks curves from one calculation.
All of the math is there, it's just a matter of adding the interfaces to the
engine so that I can pull out the data.

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Dive into the World of Parallel Programming The Go Parallel Website,
sponsored by Intel and developed in partnership with Slashdot Media, is your
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leadership blogs to news, videos, case studies, tutorials and more. Take a
look and join the conversation now. http://goparallel.sourceforge.net/
_______________________________________________
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[Joseph Wang-4]

No.  It's numerical differentiation, but it just exposes some of the
things that are currently calculated.

On Sun, Mar 15, 2015 at 7:31 PM, Cheng Li <[hidden email]> wrote:

> Hi Joseph,
>
> So is it the similar algorithmic differentiation approach for FD?
>
> Regards,
> Cheng
> -----邮件原件-----
> 发件人: Joseph Wang [mailto:[hidden email]]
> 发送时间: 2015年3月15日 15:16
> 收件人: [hidden email]
> 主题: [Quantlib-dev] Heads up - FD engine enhancements
>
> Just a heads up.  I'm working on some enhancements to the FD engine that
> will let you pull the entire greeks curves from one calculation.
> All of the math is there, it's just a matter of adding the interfaces to the
> engine so that I can pull out the data.
>
> ----------------------------------------------------------------------------
> --
> Dive into the World of Parallel Programming The Go Parallel Website,
> sponsored by Intel and developed in partnership with Slashdot Media, is your
> hub for all things parallel software development, from weekly thought
> leadership blogs to news, videos, case studies, tutorials and more. Take a
> look and join the conversation now. http://goparallel.sourceforge.net/
> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

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conversation now. http://goparallel.sourceforge.net/
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