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Sum total of M2M values of all Risk Manager DIPs + Mango Trading PnL
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Since alpaka has support for both random number generators and atomic operations, it should be easy to make an example implementing Monte Carlo. To me two applications seem most fitting:
* [numerical…
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Following discussions with @FHoltorf over Slack, I am opening an issue (feature request) here.
The scope of this FR address the following high level problems:
- How would one solve a high dimen…
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Skimmed through the "Case Studies" section and found [Finance Applications](https://ocaml.xyz/book/case-finance.html) chapter. It's widely known that the Black-Scholes model doesn't work, along with t…
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Problem: If rate is negative (I used -0.012 - 0.12%), the BAW option pricing crashed with this error message: forward + displacement (-3.875e+14 + 0) must be positive
Code: https://github.com/lball…
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I was wondering if any performance optimization has been explored on the GPU for this. In particular, I was thinking that [Python JAX](https://jax.readthedocs.io/en/latest/notebooks/quickstart.html) w…
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I tried to work-around current limitations with regard to SIMD and parallelism used at the same time and found another limitation. The following code:
```
@nb.njit(error_model='numpy', fastmath=True…
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Any opposition to moving the benchmarks from https://github.com/JuliaActuary/Learn/tree/master/Benchmarks (website view: https://juliaactuary.org/benchmarks/) to this repository?
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I sent these questions in an email to Dr Yang but I thought I would post here too
I have read the paper on FastAD and I am very interested in using fastAD for my algorithm
I was wondering does F…
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_From @mlisanke on April 1, 2015 5:40_
Example cython code appears to compile correctly, but; always fails to load the .pyd as shown below:
```
%%cython
cimport cython
from libc.math cimport exp, sq…