Re: 答复: Adjoint Greeks

Posted by Alexander Sokol on Mar 02, 2015; 6:02am
URL: http://quantlib.414.s1.nabble.com/Adjoint-Greeks-tp16147p16292.html

Hi Cheng

The Framework folder contains a data-driven interface around QuantLib we are wokring on, and the Results folder will have test results which will help establish that adjoint code works correctly. These are both in progress and are not yet ready for use.

Regarding the conversion itself, we are already running with the entire library converted to use AD<double> instead of Real. However this required some changes in CppAD and so we did not release this code on GitHub, and instead tried to find a better way to approach the conversion.

To address this problem, we took a slightly different approach - converted the code to use an internal inline class, which in turn contains AD<double>. This works with standard CppAD and will also work with other adjoint frameworks without further changes to QuantLib. The code is inlined, so there is no slowdown to speak of due to the introduction of this wrapper. I will publish the code shortly and post to this list, after which testing can commence!

Best regards
Alex