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From: Peter C. <pca...@gm...> - 2024-05-23 17:56:46
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Dear all, there will be a gathering on 5th June in London where we will discuss recent developments in ORE https://www.acadia.inc/quant-summit-london-2024 As we all know, QuantLib is an essential part of ORE and so it seems okay to announce this here. We will discuss AAD for T0 sensis and XVA and how the ORE approach compares to other approaches that were implemented for QuantLib, how we offload work to GPUs, how we integrate QuantLib's finite-difference framework into Bermudan Swaption and Scripted Trade pricing, new features around rate curve building based off QuantLib classes, how we handle stress testing in par and zero space, how we wrap the libraries into a restful API, and much more. There are still a couple of seats left (actually not so many I believe), so feel free to register. Best Peter |