Copyright (C) 2011, 2012, 2013, 2014, 2015, 2016, 2017, 2018, 2019, 2020, 2021 Klaus Spanderen

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16 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.

  2. The source code for vpp pricing is not valid anymore (old url) is it possible to share it again, Thanks for sharing your work it is very helpful

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