Posted by
cheng li on
Mar 15, 2015; 11:22am
URL: http://quantlib.414.s1.nabble.com/Heads-up-FD-engine-enhancements-tp16366p16367.html
Hi Joseph,
So is it the similar algorithmic differentiation approach for FD?
Regards,
Cheng
-----邮件原件-----
发件人: Joseph Wang [mailto:
[hidden email]]
发送时间: 2015年3月15日 15:16
收件人:
[hidden email]
主题: [Quantlib-dev] Heads up - FD engine enhancements
Just a heads up. I'm working on some enhancements to the FD engine that
will let you pull the entire greeks curves from one calculation.
All of the math is there, it's just a matter of adding the interfaces to the
engine so that I can pull out the data.
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