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AAD sensitivities in the Bermudan swaption and CDS examples - #32

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auto-differentiation-dev merged 8 commits into
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samples/bermudan-cds
Nov 13, 2026
Merged

auto-differentiation-dev merged 8 commits into
mainfrom
samples/bermudan-cds

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The Bermudan swaption and CDS examples gain a section that computes their sensitivities with AAD, through the model calibration and the hazard-rate bootstrap respectively.

Changes

  • Python/examples/bermudan-swaption.py: vegas of a Bermudan swaption to each calibration volatility through the Hull-White calibration, using the implicit function theorem at the calibrated parameters instead of differentiating the optimizer; the calibration runs to the optimum so the vegas are accurate
  • Python/examples/cds.py: sensitivities of a CDS to the quoted spreads, risk-free rate, recovery, coupon and nominal through the hazard-rate bootstrap, next to central differences
  • CHANGELOG entry

Closes #17, closes #18.

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auto-differentiation-dev merged commit 3c64db4 into main Nov 13, 2026
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auto-differentiation-dev deleted the samples/bermudan-cds branch November 13, 2026 13:57
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CDS example with sensitivities Add an adjoint Bermudan swaption example

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