Dear All,
I have finally done a first release of Kooderive.
It's a library of C++ and CUDA code to price derivatives
via Monte Carlo Simulation. One example is the pricing of a 40
rate cancellable swap using the LMM using two passes of 320k
paths and multiple regression, in a bout 2 seconds using a Tesla C1060.
There is a subproject kooql that shows how to use QuantLib code
to produce calibrations for the LMM and then price using Kooderive.
best
Mark
--
Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com
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