Skip to content

AAD class library with tape compression, optimized for Monte Carlo and quant finance

Notifications You must be signed in to change notification settings

Andres-Hernandez/tapescript

 
 

Repository files navigation

TapeScript

TapeScript is a C++ library for AAD with tape compression. TapeScript serves as front end to CppAD, adding support for tape compression by storing arrays rather than individual doubles in a single tape slot, and providing other AAD functionality specific to quantitative finance.

To learn more, download TapeScript presentation

About

AAD class library with tape compression, optimized for Monte Carlo and quant finance

Resources

Stars

Watchers

Forks

Releases

No releases published

Packages

No packages published

Languages

  • C++ 100.0%