Posted by
Peter Caspers-4 on
Mar 03, 2015; 8:34am
URL: http://quantlib.414.s1.nabble.com/Adjoint-Greeks-tp16147p16297.html
Hi Alex,
yes. I have other scenarios in mind. Like you have a demanding model
calibration, say for a LFM just to name an example. You want to do
this without AD of course. Then you have your actual exotic pricing
with a Monte Carlo engine, where you want AD enabled to compute the
deltas.
Here you seem to need both calculations variants within one
application and even have to transport the calibrated model from one
to the other somehow.
Thanks
Peter
On 3 March 2015 at 09:02, Alexander Sokol <
[hidden email]> wrote:
> Hi Peter:
>
> My impression currently is that keeping track of AD vs. non-AD variables
> manually and designing the code to compile with two different types of
> variables in different classes is going to be very cumbersome, and not
> necessarily effective in terms of performance. By the time we get to the
> slow part of the calculation such as lattice and Monte Carlo, the variables
> in the time slice will all have to be AD variables. If this is the case,
> then getting typedef to QlDouble, which in turn contains AD<double> as a
> data member, is the easiest and fastest way to get the entire library
> supporting AD. In fact, the conversion is already done and we are about to
> release the code on GitHub - currently testing and resolving the remaining
> issues with conversion of InterestRate to Real.
>
> I also think the work only just begins, because using AD effectively with
> Monte Carlo and other numerical techniques will require considerable amount
> of additional engineering - so we are still far from having an effective AD
> implementation for e.g. XVA or other numerical calculations where additional
> speed is most important. The version of the code with typedef only gets us
> to the starting line for that effort.
>
> Alex
>
>
>
>
> --
> View this message in context:
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>
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