Re: Adjoint Greeks

Posted by Alexander Sokol on Feb 19, 2015; 10:35pm
URL: http://quantlib.414.s1.nabble.com/Adjoint-Greeks-tp16147p16276.html

Peter, Luigi:

Just a quick update on our status - as of today the entire QuantLib code including the core library, test suite, and examples compiles without errors with Real = AD<double>, and there are only 3 linking errors remaining. I hope to commit the code which has no linking or compilation errors within the next few days and will post GIT revisions then. The interim version is in CompatibL's clone of quantlib repo, https://github.com/compatibl/quantlib.

However this result was achieved by temporarily creating a large number of stubs for methods taking AD<double>. The stubs are currently throwing exceptions, and will need to be implemented one by one. The good news is that we have been able to compile the entire source while making only minimal changes, and I hope these changes are sufficiently limited and localized for Luigi to accept them into the main master so we do not need to maintain AD and non-AD version separately - it would be controlled by a compile time define with the same source.

Regarding Luigi's idea with two libraries, this can certainly work if one needs to apply AD only in some areas of the code but not others. We can make "QuantLib" a compile time define, to be defined separately for each project. This will avoid having to touch every file.

Best regards
Alex