The goal of this project is to use finmath's automatic differentiation capabalities to calculate forward sensitivities which can be used to simulate quantities that rely on sensitivities, for example regulatory figures like SA-CCR or SIMM.
The goal of this project is to use finmath's automatic differentiation capabalities to calculate forward sensitivities which can be used to simulate quantities that rely on sensitivities, for example regulatory figures like SA-CCR or SIMM.