Top 5 C++ numerical-method Projects

Kratos

1 955 10.0 C++

Kratos Multiphysics (A.K.A Kratos) is a framework for building parallel multi-disciplinary simulation software. Modularity, extensibility and HPC are the main objectives. Kratos has BSD license and is written in C++ with extensive Python interface. (by KratosMultiphysics)
QuantPDE

1 54 0.7 C++

A high-performance, open-source, header-only C++(>=11) library for pricing derivatives.

Project mention: Python Package for Exotic Derivatives | /r/quant | 2023-06-12

I wrote a library called QuantPDE when I was a graduate student that might have what you need. There is a tutorial on the GitHub page for how to implement a Bermudan option with discrete dividends.

WorkOS

workos.com sponsored

The modern identity platform for B2B SaaS. The APIs are flexible and easy-to-use, supporting authentication, user identity, and complex enterprise features like SSO and SCIM provisioning.
zhetapi

2 47 0.7 C++

A C++ ML and numerical analysis API, with an accompanying scripting language.
AutoGeodesics

3 8 10.0 C++

Easily integrate the geodesics equation using automatic differentiation.
Academy-Course-DAT31071

1 2 4.4 C++

Scripts supporting the Open Risk Academy course Tensor Calculations with the Eigen C++ Library

Project mention: New Academy Course: Tensor Calculations with the Eigen C++ Library | /r/open_risk | 2023-11-11

Github Link

InfluxDB

www.influxdata.com sponsored

Power Real-Time Data Analytics at Scale. Get real-time insights from all types of time series data with InfluxDB. Ingest, query, and analyze billions of data points in real-time with unbounded cardinality.

NOTE: The open source projects on this list are ordered by number of github stars. The number of mentions indicates repo mentiontions in the last 12 Months or since we started tracking (Dec 2020).