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
AAD sensitivities to all appropriate risk factors are calculated from the recorded tape on demand
Example of AAD sensitivity of CVA calculated on demand