About

Copyright (C) 2011, 2012, 2013, 2014, 2015, 2016, 2017 Klaus Spanderen

This blog is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. The posts on this blog are my own and don’t represent my employer’s positions, strategies, or opinions.

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13 thoughts on “About

  1. Hi hpcquantlib,
    maybe you would like to test the CLV framework *http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2747541* for a very fast pricing with smile, extremely fast calibration, and pricing of high dimensional baskets? It would nicely fit to your blog.
    I do not mind to share prototype code with you. Just let me know.
    Greetings,
    LG

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