Re: 答复: Adjoint Greeks

Posted by Ferdinando M. Ametrano-2 on Mar 03, 2015; 10:12am
URL: http://quantlib.414.s1.nabble.com/Adjoint-Greeks-tp16147p16300.html

Hi Alex and Peter

too bad in this period of my professional life I'm busy with other issues, as I would love to join you in this exciting endeavor (not sure you would appreciate, but that's another story... :-)

I don't see your different approaches as conflicting: if Sokol's approach will not alter the QL codebase significantly, nothing is preventing Caspers' approach to be overlaid on the same QL codebase. To me this seems the best outcome: both alternatives being available to all users for experimenting, testing, and customizing solutions!

In time we might settle on which would be the best practice for every different use case.

just my $0.02 (or mBTC0.2)

ciao -- Nando

On Tue, Mar 3, 2015 at 10:12 AM, Peter Caspers <[hidden email]> wrote:

Alex,

I will try to get an example like this working, then we can compare.

Best regards
Peter

On 3 March 2015 at 09:43, Alexander Sokol <[hidden email]> wrote:
> Hi Peter:
>
> I agree that in this scenario, having them separate is beneficial if this
> can be accomplished in practice. Perhaps we need two separate branches, one
> for each approach, with two groups working in parallel.
>
> For the moment, my team is focusing on the typedef approach and taking the
> next step to making AD usable in practice with Monte Carlo.
>
> Best regards
> Alex
>
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/Adjoint-Greeks-tp16147p16298.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
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