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I have tried to implement an AAD routine to price call options using the Black-Scholes formula, but my greeks are not quite agreeing with the expected ones, so I have decided to start with something a bit simpler.

Assuming that I know all the discount factors and forward points (so that that I do not need to use any interpolation routine), what would be the best way to implement an IRSwap pricer using AAD? Any particular points I should bear in mind?

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  • $\begingroup$ A swap pricer is simpler than Black-Scholes?? Shameless plug, but I've implemented AD in Black Scholes github.com/phillyfan1138/AutoDiff/blob/master/test.cpp. It may help you figure out whats going on...my guess is that the ERF functions wasn't properly overloaded. $\endgroup$
    – user9403
    May 19, 2017 at 0:37
  • $\begingroup$ Agreed with @user9403, starting with Black-Scholes is simpler. I remember having found some code examples of Greeks computation using AAD implemented in Matlab, just Google it! $\endgroup$ May 19, 2017 at 10:04

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