This project forked from wangys96/exotic-pricing
A collection of derivative pricing module implemented in C++ and Python
License: MIT License
This repo has some applications of QuantLib.
DiscreteGeometricAverageStrikeEngine and a pricing examplePybind11 to wrap PathGenerator and RandomSequenceGenerator for fast Monte-Carlo simulation. An example of Autocall note is given.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.
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