auto-differentiation/xad

Projectile aiming sample (differentiating through a simulation) about 13 hours ago

good first issue samples

435

The fastest automatic differentiation library for C++, with Python bindings. Forward, adjoint and higher-order derivatives, checkpointing, Eigen support and JIT. Reproducible benchmarks against CppAD, Adept and autodiff.

C++

#aad#adjoint#algorithmic-differentiation#autodiff#automatic-differentiation#cpp#derivatives#eigen#gradient#greeks#hessian#high-performance-computing#jacobian#library#monte-carlo#python#quantitative-finance#quantlib#risk-management#scientific-computing

Eigen sample about 13 hours ago

good first issue samples

auto-differentiation/xad

435

The fastest automatic differentiation library for C++, with Python bindings. Forward, adjoint and higher-order derivatives, checkpointing, Eigen support and JIT. Reproducible benchmarks against CppAD, Adept and autodiff.

C++

#aad#adjoint#algorithmic-differentiation#autodiff#automatic-differentiation#cpp#derivatives#eigen#gradient#greeks#hessian#high-performance-computing#jacobian#library#monte-carlo#python#quantitative-finance#quantlib#risk-management#scientific-computing

SIR model calibration sample about 13 hours ago

good first issue samples

auto-differentiation/xad

435

The fastest automatic differentiation library for C++, with Python bindings. Forward, adjoint and higher-order derivatives, checkpointing, Eigen support and JIT. Reproducible benchmarks against CppAD, Adept and autodiff.

C++

#aad#adjoint#algorithmic-differentiation#autodiff#automatic-differentiation#cpp#derivatives#eigen#gradient#greeks#hessian#high-performance-computing#jacobian#library#monte-carlo#python#quantitative-finance#quantlib#risk-management#scientific-computing

Sample: fit a yield curve with Gauss-Newton using XAD Jacobians 6 days ago

good first issue samples

auto-differentiation/xad

435

The fastest automatic differentiation library for C++, with Python bindings. Forward, adjoint and higher-order derivatives, checkpointing, Eigen support and JIT. Reproducible benchmarks against CppAD, Adept and autodiff.

C++

#aad#adjoint#algorithmic-differentiation#autodiff#automatic-differentiation#cpp#derivatives#eigen#gradient#greeks#hessian#high-performance-computing#jacobian#library#monte-carlo#python#quantitative-finance#quantlib#risk-management#scientific-computing

Sample: sparse Jacobian of a tridiagonal function (column colouring) 8 days ago

good first issue samples

auto-differentiation/xad

435

The fastest automatic differentiation library for C++, with Python bindings. Forward, adjoint and higher-order derivatives, checkpointing, Eigen support and JIT. Reproducible benchmarks against CppAD, Adept and autodiff.

C++

#aad#adjoint#algorithmic-differentiation#autodiff#automatic-differentiation#cpp#derivatives#eigen#gradient#greeks#hessian#high-performance-computing#jacobian#library#monte-carlo#python#quantitative-finance#quantlib#risk-management#scientific-computing

Sample: gradient of a logistic-regression loss 9 days ago

good first issue samples

auto-differentiation/xad

435

The fastest automatic differentiation library for C++, with Python bindings. Forward, adjoint and higher-order derivatives, checkpointing, Eigen support and JIT. Reproducible benchmarks against CppAD, Adept and autodiff.

C++

#aad#adjoint#algorithmic-differentiation#autodiff#automatic-differentiation#cpp#derivatives#eigen#gradient#greeks#hessian#high-performance-computing#jacobian#library#monte-carlo#python#quantitative-finance#quantlib#risk-management#scientific-computing

Add QuantLib-Risks-Cpp to CI/CD pipelines 10 days ago

enhancement good first issue workflow

auto-differentiation/xad

435

The fastest automatic differentiation library for C++, with Python bindings. Forward, adjoint and higher-order derivatives, checkpointing, Eigen support and JIT. Reproducible benchmarks against CppAD, Adept and autodiff.

C++

#aad#adjoint#algorithmic-differentiation#autodiff#automatic-differentiation#cpp#derivatives#eigen#gradient#greeks#hessian#high-performance-computing#jacobian#library#monte-carlo#python#quantitative-finance#quantlib#risk-management#scientific-computing

Measure the Windows vs Linux gap on the LIBOR swaption sample (#195) 10 days ago

good first issue benchmarks

auto-differentiation/xad

435

The fastest automatic differentiation library for C++, with Python bindings. Forward, adjoint and higher-order derivatives, checkpointing, Eigen support and JIT. Reproducible benchmarks against CppAD, Adept and autodiff.

C++

#aad#adjoint#algorithmic-differentiation#autodiff#automatic-differentiation#cpp#derivatives#eigen#gradient#greeks#hessian#high-performance-computing#jacobian#library#monte-carlo#python#quantitative-finance#quantlib#risk-management#scientific-computing

FAQ: complex numbers and the std::is_arithmetic check 10 days ago

documentation good first issue

auto-differentiation/xad

435

The fastest automatic differentiation library for C++, with Python bindings. Forward, adjoint and higher-order derivatives, checkpointing, Eigen support and JIT. Reproducible benchmarks against CppAD, Adept and autodiff.

C++

#aad#adjoint#algorithmic-differentiation#autodiff#automatic-differentiation#cpp#derivatives#eigen#gradient#greeks#hessian#high-performance-computing#jacobian#library#monte-carlo#python#quantitative-finance#quantlib#risk-management#scientific-computing

FAQ: linking errors such as undefined reference to xad::Tape 10 days ago

documentation good first issue

auto-differentiation/xad

435

The fastest automatic differentiation library for C++, with Python bindings. Forward, adjoint and higher-order derivatives, checkpointing, Eigen support and JIT. Reproducible benchmarks against CppAD, Adept and autodiff.

C++

#aad#adjoint#algorithmic-differentiation#autodiff#automatic-differentiation#cpp#derivatives#eigen#gradient#greeks#hessian#high-performance-computing#jacobian#library#monte-carlo#python#quantitative-finance#quantlib#risk-management#scientific-computing

Docs: how-to for using one tape across many calls 10 days ago

documentation good first issue

auto-differentiation/xad

435

The fastest automatic differentiation library for C++, with Python bindings. Forward, adjoint and higher-order derivatives, checkpointing, Eigen support and JIT. Reproducible benchmarks against CppAD, Adept and autodiff.

C++

#aad#adjoint#algorithmic-differentiation#autodiff#automatic-differentiation#cpp#derivatives#eigen#gradient#greeks#hessian#high-performance-computing#jacobian#library#monte-carlo#python#quantitative-finance#quantlib#risk-management#scientific-computing

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