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Exotics Pricing

This repo has some applications of QuantLib.

Projects

  • AsianOption (C++)
    Implemented DiscreteGeometricAverageStrikeEngine and a pricing example
  • Autocall CPU(C++&Pybind)
    Use Pybind11 to wrap PathGenerator and RandomSequenceGenerator for fast Monte-Carlo simulation. An example of Autocall note is given.
  • Autocall GPU(cuda&cupy)
    Use cupy and raw cuda kernel to perform Monte-Carlo simulation. An example of Autocall note is given and there is a 400x speedup compared with CPU.