Source Code Archive for Adjoint Algorithmic Differentiation Tool Support Whitepaper

Access the NAG Software

The code archive available from this page contains all the source code accompanying the whitepaper Adjoint Algorithmic Differentiation Tool Support for Typical Numerical Patterns in Computational Finance. In particular it contains the Monte Carlo and Crank-Nicholson pricing codes, all the AD solutions discussed in the paper, and a copy of dco/c++. Documentation for the source and dco/c++ will be provided with the licence key.

Please complete the form opposite to request the code and a trial licence for dco/c++. Note: Available for 32- & 64-bit Windows and 64-bit Linux systems.