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Performance

NPV and CVA sensitivities using AAD and GPU parallelization (python-driven; no XML inputs kept).

Official readme: readme.md

input

• conventions.xml
• currencies.xml
• curveconfig.xml
• fixings.csv
• marketdata.csv
• netting.xml
• ore_amc_legacy.xml
• ore_cvasensi_ad.xml
• ore_cvasensi_bump.xml
• ore_cvasensi_cgcube.xml
• ore_cvasensi_cgcube_gpu.xml
• ore_cvasensi_gpu.xml
• ore_multi.xml
• ore_sensi.xml
• ore_sensi_ad.xml
• ore_sensi_cg.xml
• ore_sensi_gpu.xml
• portfolio_cvasensi.xml
• portfolio_multi.xml
• portfolio_sensi.xml
• pricingengine.xml — engines for 4 product types: EquityBarrierOption, EquityOption, ScriptedTrade, Swap
• pricingengine_ad.xml — engines for 4 product types: EquityBarrierOption, EquityOption, ScriptedTrade, Swap
• pricingengine_amc.xml — engines for 2 product types: ScriptedTrade, Swap
• pricingengine_amccg.xml — engines for 7 product types: BermudanSwaption, CrossCurrencySwap, FxForward, FxOption, MultiLegOption, ScriptedTrade, Swap
• pricingengine_cg.xml — engines for 4 product types: EquityBarrierOption, EquityOption, ScriptedTrade, Swap
• pricingengine_gpu.xml — engines for 4 product types: EquityBarrierOption, EquityOption, ScriptedTrade, Swap
• pricingengine_nocg.xml — engines for 4 product types: EquityBarrierOption, EquityOption, ScriptedTrade, Swap
• scriptlibrary.xml
• sensimarket.xml
• sensitivity.xml
• simulation.xml
• simulation_gpu.xml
• simulation_multi.xml
• simulation_xva.xml
• todaysmarket.xml
• xvasensiconfig.xml