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A simple payoff scripting language for structured products for IRD, Forex Equity....
The project was first integrated to QuantLib, with a targeted CUDA link.
So I plugged it at the Kooderive pricer of Mark JOSHI via a generated CUDA code directly compiled and loaded into the GPU at runtime.
Next steps:
- Add "loop" script keyword
- Add pricer for Forex and equity
- Use PTX for better loading time
- CUDA 7 with improve Runtime Compilation
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