Mission : Impossible (AutoDiff)
QuantLib
Mission : Impossible (AutoDiff) | QuantLib | |
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- | 1 | |
20 | 4,829 | |
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0.0 | 9.8 | |
about 2 years ago | 8 days ago | |
C++ | C++ | |
MIT License | GNU General Public License v3.0 or later |
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Mission : Impossible (AutoDiff)
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Tracking mentions began in Dec 2020.
QuantLib
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Question About Fitting The Heston Model To Market Data
Check out the last 2 methods here https://github.com/lballabio/QuantLib/blob/master/ql/models/equity/hestonmodelhelper.cpp
What are some alternatives?
GLM - OpenGL Mathematics (GLM)
Eigen
muparser - muparser is a fast math parser library for C/C++ with (optional) OpenMP support.
ceres-solver - A large scale non-linear optimization library
MIRACL - MIRACL Cryptographic SDK: Multiprecision Integer and Rational Arithmetic Cryptographic Library is a C software library that is widely regarded by developers as the gold standard open source SDK for elliptic curve cryptography (ECC).
TinyExpr - tiny recursive descent expression parser, compiler, and evaluation engine for math expressions
OpenBLAS - OpenBLAS is an optimized BLAS library based on GotoBLAS2 1.13 BSD version.
LibTomMath - LibTomMath is a free open source portable number theoretic multiple-precision integer library written entirely in C.
Vc - SIMD Vector Classes for C++