Re: [Quantlib-dev] Adjoint Greeks

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

I thought in a realistic application you would always need both
worlds, CppAD<double> for adjoint greek engines and double for all the
rest. I wonder what it would mean in terms of performance and memory
if you replace double by CppAD<double> in general. I can maybe just
stress test this a bit though.
Peter



On 7 January 2015 at 10:23, Luigi Ballabio <lui...@gm...> wrote:
> Switching Real would force you to fix compilation problems all over the
> library, instead of just in the code you're converting.
>
> If you wanted to go the route of #defining the type, I guess you could
> introduce another type (ADReal or something) and switch the coverted code to
> use it.
> Which might or might not be a good idea; you wouldn't be forced to
> templatize the code, but you would have to choose AD or not at compilation
> time, instead that having the choice to use both for different tasks. Hmm...
>
> Anyway: yes, very promising. Between Peter, Klaus and Joseph, we got a lot
> of presents this Christmas :)
>
> Luigi
>
>
>
> On Wed, Jan 7, 2015 at 9:41 AM, Ferdinando M. Ametrano
> <fer...@am...> wrote:
>>
>> 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
>>>
>>>
>>> ------------------------------------------------------------------------------
>>> Dive into the World of Parallel Programming! The Go Parallel Website,
>>> sponsored by Intel and developed in partnership with Slashdot Media, is
>>> your
>>> hub for all things parallel software development, from weekly thought
>>> leadership blogs to news, videos, case studies, tutorials and more. Take
>>> a
>>> look and join the conversation now. http://goparallel.sourceforge.net
>>> _______________________________________________
>>> QuantLib-dev mailing list
>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
>>
>>
>>
>> ------------------------------------------------------------------------------
>> Dive into the World of Parallel Programming! The Go Parallel Website,
>> sponsored by Intel and developed in partnership with Slashdot Media, is
>> your
>> hub for all things parallel software development, from weekly thought
>> leadership blogs to news, videos, case studies, tutorials and more. Take a
>> look and join the conversation now. http://goparallel.sourceforge.net
>> _______________________________________________
>> QuantLib-dev mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
>
>
>
> --
> <https://implementingquantlib.blogspot.com>
> <https://twitter.com/lballabio>