Repository navigation
Scaling example: AAD and bumping cost as the number of inputs grows - #31
Merged
Merged
Conversation
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.This suggestion is invalid because no changes were made to the code.Suggestions cannot be applied while the pull request is closed.Suggestions cannot be applied while viewing a subset of changes.Only one suggestion per line can be applied in a batch.Add this suggestion to a batch that can be applied as a single commit.Applying suggestions on deleted lines is not supported.You must change the existing code in this line in order to create a valid suggestion.Outdated suggestions cannot be applied.This suggestion has been applied or marked resolved.Suggestions cannot be applied from pending reviews.Suggestions cannot be applied on multi-line comments.Suggestions cannot be applied while the pull request is queued to merge.Suggestion cannot be applied right now. Please check back later.
A new example that shows how the cost of all sensitivities of an option book grows with the number of market inputs, with AAD and with bumping.
Changes
Python/examples/scaling-adjoint.py: a book of European options on spot, dividend yield, a zero curve and a Black volatility surface of growing size; AAD sensitivities checked against central differences at every size, and a table of pricing, bumping and AAD cost and tape memory measured at run time