Re: [Quantlib-dev] 答复: Adjoint Greeks

[Peter C. <pca...@gm...>]

Hi Cheng,
yes, exactly, Sebastian applied AD to vega computation in the Hull
White Model if I remember correctly.
It would be great, if you would join in.
Peter

On 5 January 2015 at 02:47, cheng li <scr...@gm...> wrote:
> Hi Peter,
>
> I have recently read the presentation writtern by Sebastian on qlws13. Are
> your idea similar with his? Roughly both are template based? I am always
> very interested in AD method but never know how to start from scratch...
>
> I'd like to follow your branch and try to follow the algorithms. Once I got
> that basis, I am very glad to help you to continue the development~
>
> Regards,
> Cheng
>
> -----邮件原件-----
> 发件人: Peter Caspers [mailto:pca...@gm...]
> 发送时间: 2015年1月5日 4:55
> 收件人: QuantLib Mailing Lists
> 主题: [Quantlib-dev] Adjoint Greeks
>
> Hello all,
>
> happy new year.
>
> I revisited Ferdinando's comments on adjoint greeks during our December
> workshop and started to play around with that idea.
>
> The approach I am trying to follow is to adapt the ql library code so that
> automatic differentiation _tools_ can be used with it in a transparent way.
> This is opposed to writing special adjoint engines by _hand_ like e.g.
> advocated in Capriotti, Giles, Algorithmic
> Differentiation: Adjoint Greeks Made Easy. The relatively small and
> homogeneous code basis of ql seems to allow for this kind of more
> fundamental approach.
>
> I wrote a bit about my first steps in my blog
>
> http://quantlib.wordpress.com/
>
> and forked a new branch from Luigi's current master on github
>
> https://github.com/pcaspers/quantlib/tree/adjoint
>
> where I started to template'ize the library in order to allow for AD tools
> to hook in. There are already first working examples (see the
> blog) and I am starting to feel confident that the approach might work as a
> whole, might be doable in a reasonable amount of time and is worthwhile
> following.
>
> About the feasibility: The library seems to consist of roughly 376k lines of
> code currently (all hpp and cpp files under ql / ). From that we can
> subtract "data" files
>
> 78862 ./math/randomnumbers/sobolrsg.cpp
> 21376 ./math/randomnumbers/primitivepolynomials.cpp
> 14495 ./math/randomnumbers/latticerules.cpp
> 10115 ./experimental/volatility/noarbsabrabsprobs.cpp
>
> which leaves us with 251k lines. It seems that I have already reviewed and
> adapted around 14k lines, which is 5% and which took me approximately 60
> hours. This gives an estimation of 130 person days still left to do. For the
> whole (!) library where already parts will make much sense and give
> interesting applications. E.g. excluding experimental classes (90k) and the
> market model (25k) reduces the estimate already to 65 person days to go.
>
> I would be interested in your opinions on that, in particular regarding the
> design choices to make (better now than later :-) ).
>
> I'd also be grateful for people supporting the development by forking the
> adjoint branch and sending pull requests with adapted code pieces.
> My personal next steps would be
> - rate deltas for Legs / Swap instruments
> - rate vegas for vanilla interest rate options
> - Hull White model
>
> What do you think ?
>
> Thank you
> Peter
>
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