DAL - Derivatives Algorithms Lib

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Introduction

This is a project inspired by following books:

• Derivatives Algorithms: Volume 1: Bones by Tom Hyer;

• Modern Computational Finance: AAD and Parallel Simulations by Antoine Savine;

• Modern Computational Finance: Scripting for Derivatives and xVA by Antoine Savine.

At current stage, this codes repository is simply for prototyping and practice. Don't use them in serious situation.

Some codes are directly copied from Tom and Antoine's books