Exotics Pricing

This repo has some applications of QuantLib.

Projects

• AsianOption (C++)
  Implemented DiscreteGeometricAverageStrikeEngine and a pricing example
• Autocall CPU(C++&Pybind)
  Use Pybind11 to wrap PathGenerator and RandomSequenceGenerator for fast Monte-Carlo simulation. An example of Autocall note is given.
• Autocall GPU(cuda&cupy)
  Use cupy and raw cuda kernel to perform Monte-Carlo simulation. An example of Autocall note is given and there is a 400x speedup compared with CPU.