Re: [Quantlib-dev] Adjoint Greeks

[Ferdinando M. A. <fer...@am...>]

Thank you Peter, it sounds exciting and promising.
Why haven't you considered to just change the Real typedef from double to
CppAD::AD<double>?

On Sun, Jan 4, 2015 at 9:55 PM, Peter Caspers <pca...@gm...>
wrote:

> 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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