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项目作者： wangys96

项目描述 ：
A collection of derivative pricing module implemented in C++ and Python
高级语言： C++
项目地址: git://github.com/wangys96/Exotic-Pricing.git
创建时间： 2020-04-06T09:48:05Z
项目社区：https://github.com/wangys96/Exotic-Pricing
开源协议：MIT License
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Exotics Pricing

This repo has some applications of QuantLib.

Projects

  • AsianOption (C++)
    Implemented DiscreteGeometricAverageStrikeEngine and a pricing example
  • Autocall CPU(C++&Pybind)
    Use Pybind11 to wrap PathGenerator and RandomSequenceGenerator for fast Monte-Carlo simulation. An example of Autocall note is given.
    • Autocall GPU(cuda&cupy)
      Use cupy and raw cuda kernel to perform Monte-Carlo simulation. An example of Autocall note is given and there is a 400x speedup compared with CPU.