├── .gitattributes ├── .gitignore ├── AAD and Parallel Simulations examples ├── toyCodeChp15section2 ├── toyCodeChp9section5 └── toyCodeChp9sections2to4 ├── AAD.cpp ├── AAD.h ├── AADExpr.h ├── AADNode.h ├── AADNumber.h ├── AADTape.h ├── AutocallPricer.xlsx ├── ConcurrentQueue.h ├── Intro2AADinMachineLearningAndFinance.pdf ├── README.md ├── ThreadPool.cpp ├── VC_redist.x64.exe ├── VC_redist.x86.exe ├── Workshop ├── dlBlackScholes.ipynb ├── net1.png ├── reval.xlsx └── testWithToyCode.xlsx ├── analytics.h ├── back.jpg ├── blocklist.h ├── choldc.h ├── gaussians.h ├── interp.h ├── ivs.h ├── main.h ├── matrix.h ├── mcBase.cpp ├── mcBase.h ├── mcMdl.h ├── mcMdlBS.h ├── mcMdlDupire.h ├── mcMdlMultiDisplaced.h ├── mcPrd.h ├── mcPrdMulti.h ├── mrg32k3a.h ├── sobol.cpp ├── sobol.h ├── store.h ├── testDLM.xlsx ├── threadPool.h ├── toyCode.h ├── utility.h ├── xlComp.sln ├── xlComp.vcxproj ├── xlComp.vcxproj.filters ├── xlComp.xll ├── xlCpp ├── ExportingCpp2xl.pdf └── cppFiles │ ├── MemoryManager.cpp │ ├── MemoryPool.cpp │ ├── MemoryPool.h │ ├── framework.h │ ├── gaussians.h │ ├── memorymanager.h │ ├── xlExport.cpp │ ├── xlOper.h │ ├── xlcall.cpp │ └── xlcall.h ├── xlExport.cpp ├── xlMemoryManager.cpp ├── xlMemoryPool.cpp ├── xlMemoryPool.h ├── xlOper.h ├── xlTest.xlsx ├── xlcall.cpp ├── xlcall.h ├── xlframework.h └── xlmemorymanager.h /.gitattributes: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/.gitattributes -------------------------------------------------------------------------------- /.gitignore: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/.gitignore -------------------------------------------------------------------------------- /AAD and Parallel Simulations examples/toyCodeChp15section2: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/AAD and Parallel Simulations examples/toyCodeChp15section2 -------------------------------------------------------------------------------- /AAD and Parallel Simulations examples/toyCodeChp9section5: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/AAD and Parallel Simulations examples/toyCodeChp9section5 -------------------------------------------------------------------------------- /AAD and Parallel Simulations examples/toyCodeChp9sections2to4: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/AAD and Parallel Simulations examples/toyCodeChp9sections2to4 -------------------------------------------------------------------------------- /AAD.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/AAD.cpp -------------------------------------------------------------------------------- /AAD.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/AAD.h -------------------------------------------------------------------------------- /AADExpr.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/AADExpr.h -------------------------------------------------------------------------------- /AADNode.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/AADNode.h -------------------------------------------------------------------------------- /AADNumber.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/AADNumber.h -------------------------------------------------------------------------------- /AADTape.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/AADTape.h -------------------------------------------------------------------------------- /AutocallPricer.xlsx: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/AutocallPricer.xlsx -------------------------------------------------------------------------------- /ConcurrentQueue.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/ConcurrentQueue.h -------------------------------------------------------------------------------- /Intro2AADinMachineLearningAndFinance.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/Intro2AADinMachineLearningAndFinance.pdf -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/README.md -------------------------------------------------------------------------------- /ThreadPool.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/ThreadPool.cpp -------------------------------------------------------------------------------- /VC_redist.x64.exe: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/VC_redist.x64.exe -------------------------------------------------------------------------------- /VC_redist.x86.exe: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/VC_redist.x86.exe -------------------------------------------------------------------------------- /Workshop/dlBlackScholes.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/Workshop/dlBlackScholes.ipynb -------------------------------------------------------------------------------- /Workshop/net1.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/Workshop/net1.png -------------------------------------------------------------------------------- /Workshop/reval.xlsx: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/Workshop/reval.xlsx -------------------------------------------------------------------------------- /Workshop/testWithToyCode.xlsx: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/Workshop/testWithToyCode.xlsx -------------------------------------------------------------------------------- /analytics.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/analytics.h -------------------------------------------------------------------------------- /back.jpg: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/back.jpg -------------------------------------------------------------------------------- /blocklist.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/blocklist.h -------------------------------------------------------------------------------- /choldc.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/choldc.h -------------------------------------------------------------------------------- /gaussians.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/gaussians.h -------------------------------------------------------------------------------- /interp.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/interp.h -------------------------------------------------------------------------------- /ivs.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/ivs.h -------------------------------------------------------------------------------- /main.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/main.h -------------------------------------------------------------------------------- /matrix.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/matrix.h -------------------------------------------------------------------------------- /mcBase.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/mcBase.cpp -------------------------------------------------------------------------------- /mcBase.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/mcBase.h -------------------------------------------------------------------------------- /mcMdl.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/mcMdl.h -------------------------------------------------------------------------------- /mcMdlBS.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/mcMdlBS.h -------------------------------------------------------------------------------- /mcMdlDupire.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/mcMdlDupire.h -------------------------------------------------------------------------------- /mcMdlMultiDisplaced.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/mcMdlMultiDisplaced.h -------------------------------------------------------------------------------- /mcPrd.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/mcPrd.h -------------------------------------------------------------------------------- /mcPrdMulti.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/mcPrdMulti.h -------------------------------------------------------------------------------- /mrg32k3a.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/mrg32k3a.h -------------------------------------------------------------------------------- /sobol.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/sobol.cpp -------------------------------------------------------------------------------- /sobol.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/sobol.h -------------------------------------------------------------------------------- /store.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/store.h -------------------------------------------------------------------------------- /testDLM.xlsx: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/testDLM.xlsx -------------------------------------------------------------------------------- /threadPool.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/threadPool.h -------------------------------------------------------------------------------- /toyCode.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/toyCode.h -------------------------------------------------------------------------------- /utility.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/utility.h -------------------------------------------------------------------------------- /xlComp.sln: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/xlComp.sln -------------------------------------------------------------------------------- /xlComp.vcxproj: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/xlComp.vcxproj -------------------------------------------------------------------------------- /xlComp.vcxproj.filters: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/xlComp.vcxproj.filters -------------------------------------------------------------------------------- /xlComp.xll: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/xlComp.xll -------------------------------------------------------------------------------- /xlCpp/ExportingCpp2xl.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/xlCpp/ExportingCpp2xl.pdf -------------------------------------------------------------------------------- /xlCpp/cppFiles/MemoryManager.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/xlCpp/cppFiles/MemoryManager.cpp -------------------------------------------------------------------------------- /xlCpp/cppFiles/MemoryPool.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/xlCpp/cppFiles/MemoryPool.cpp -------------------------------------------------------------------------------- /xlCpp/cppFiles/MemoryPool.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/xlCpp/cppFiles/MemoryPool.h -------------------------------------------------------------------------------- /xlCpp/cppFiles/framework.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/xlCpp/cppFiles/framework.h -------------------------------------------------------------------------------- /xlCpp/cppFiles/gaussians.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/xlCpp/cppFiles/gaussians.h -------------------------------------------------------------------------------- /xlCpp/cppFiles/memorymanager.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/xlCpp/cppFiles/memorymanager.h -------------------------------------------------------------------------------- /xlCpp/cppFiles/xlExport.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/xlCpp/cppFiles/xlExport.cpp -------------------------------------------------------------------------------- /xlCpp/cppFiles/xlOper.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/xlCpp/cppFiles/xlOper.h -------------------------------------------------------------------------------- /xlCpp/cppFiles/xlcall.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/xlCpp/cppFiles/xlcall.cpp -------------------------------------------------------------------------------- /xlCpp/cppFiles/xlcall.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/xlCpp/cppFiles/xlcall.h -------------------------------------------------------------------------------- /xlExport.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/xlExport.cpp -------------------------------------------------------------------------------- /xlMemoryManager.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/xlMemoryManager.cpp -------------------------------------------------------------------------------- /xlMemoryPool.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/xlMemoryPool.cpp -------------------------------------------------------------------------------- /xlMemoryPool.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/xlMemoryPool.h -------------------------------------------------------------------------------- /xlOper.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/xlOper.h -------------------------------------------------------------------------------- /xlTest.xlsx: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/xlTest.xlsx -------------------------------------------------------------------------------- /xlcall.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/xlcall.cpp -------------------------------------------------------------------------------- /xlcall.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/xlcall.h -------------------------------------------------------------------------------- /xlframework.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/xlframework.h -------------------------------------------------------------------------------- /xlmemorymanager.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/asavine/CompFinance/HEAD/xlmemorymanager.h --------------------------------------------------------------------------------