Automatic differentiation (a.k.a algorithmic differentiation) in reverse mode for elm
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Updated
Nov 5, 2017 - Elm
Automatic differentiation (a.k.a algorithmic differentiation) in reverse mode for elm
DRIP Fixed Income is a collection of Java libraries for Instrument/Trading Conventions, Treasury Futures/Options, Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV Metrics, Stochastic Evolution and Optio…
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