XAD is a fast and comprehensive open-source C++ library for automatic differentiation. It targets production-quality code at any scale, striving for both ease of use and high performance.
As a demonstrator of integration with real-world code, the latest release of QuantLib is AAD-enabled with XAD. The performance achieved on sample applications is many-fold superior to what has been reported previously with other tools. A small adaptor module (also open-source) is required between the two projects, which contains build instructions, tests, and examples.
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