Adjoint Algorithmic Differentiation

From any report, the users have the ability to run AAD sensitivities “on demand”. Implementation is based on TapeLib, CompatibL’s AAD library.

 

TapeLib supports scalar and vector AAD with tape compression, and includes a specialised API which permits effective recording of AAD tape in Monte Carlo and other calculations spanning multiple programming languages (C++, C#, and Java).

 

Calculate AAD sensitivity by double-clicking on a calculated figure

Calculate AAD sensitivity

 

AAD sensitivities to all appropriate risk factors are calculated from the recorded tape on demand

AAD sensitivities

 

Example of AAD sensitivity of CVA calculated on demand

Example of AAD sensitivity of CVA