Add example: exact Heston MC Greeks via AADC (144x speedup) - #251
Open
mar20tinha-dot wants to merge 1 commit into
Open
Add example: exact Heston MC Greeks via AADC (144x speedup)#251mar20tinha-dot wants to merge 1 commit into
mar20tinha-dot wants to merge 1 commit into
Conversation
Records FinancePy's Heston EulerLog MC scheme on an AADC tape and replays all paths in one batch call, producing exact pathwise Greeks w.r.t. all 6 model parameters (S0, v0, kappa, theta, sigma, rho). 200K paths + 6 Greeks in 0.07s vs 9.7s for finite differences (144x). All Greeks verified against FD on same paths (ratio 0.998-1.02). Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Owner
|
Looks good. Give me some time to look at this. |
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
2 participants
Add this suggestion to a batch that can be applied as a single commit.This suggestion is invalid because no changes were made to the code.Suggestions cannot be applied while the pull request is closed.Suggestions cannot be applied while viewing a subset of changes.Only one suggestion per line can be applied in a batch.Add this suggestion to a batch that can be applied as a single commit.Applying suggestions on deleted lines is not supported.You must change the existing code in this line in order to create a valid suggestion.Outdated suggestions cannot be applied.This suggestion has been applied or marked resolved.Suggestions cannot be applied from pending reviews.Suggestions cannot be applied on multi-line comments.Suggestions cannot be applied while the pull request is queued to merge.Suggestion cannot be applied right now. Please check back later.
Summary
Adds an example showing how AADC (Automatic Adjoint Differentiation) can compute exact pathwise Greeks for FinancePy's Heston Monte Carlo simulation.
The example records the EulerLog MC scheme on an AADC tape and replays all paths in a single batch call, producing exact gradients w.r.t. all 6 model parameters (S0, v0, kappa, theta, sigma, rho) at negligible extra cost.
Results (200K paths, 50 steps)
All Greeks verified against finite differences on the same paths (ratio 0.998–1.02).
Key technique
mark_as_input_no_diff()— no gradient, but values change per scenarioaadc.evaluate()call replays the tape for all scenarios viaThreadPoolDependencies
aadc(pip install aadc, free evaluation, no licence key)🤖 Generated with Claude Code