Jacobian - #2751
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kp9991-git wants to merge 29 commits into
Open
Jacobian#2751kp9991-git wants to merge 29 commits into
kp9991-git wants to merge 29 commits into
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coverage: 75.914% (+0.3%) from 75.63% — kp9991-git:Jacobian-pr into lballabio:master |
# Conflicts: # test-suite/sofrfutures.cpp
…cross-curve Jacobians
# Conflicts: # test-suite/basisswapratehelpers.cpp
# Conflicts: # QuantLib.vcxproj # QuantLib.vcxproj.filters # ql/CMakeLists.txt # ql/experimental/termstructures/Makefile.am # ql/experimental/termstructures/all.hpp # test-suite/defaultprobabilitycurves.cpp
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This PR adds the analytical Jacobian to QuantLib:
No existing behaviour changes. Without opt-in, everything works the same way as before. The diffs are minimal and most new code sits under "experimental". Very light changes to the existing code. All analytical calcs are tested against finite differences in unit tests.
The benefits to the user are significant. The global and multicurve bootstrapping is faster with the analytical derivatives but more importantly this enables very fast PV01 calculation through risk propagation rather than naive bumping of every pillar across all dependencies. The speedup is around 15 times in my tests for a simple trade with curve dependencies (it depends on the number of curves, complexity of the trades etc.)