Universal Algorithmic Differentiation in the F3 Platform
January 16, 2017

This paper focuses on FINCAD's patented approach to analytic first-order risk. The approach exhibits a number of order-of-magnitude advantages over bumping. In addition it demonstrates a complete implementation of Exposure Projection called Universal Algorithmic Differentiation™, within FINCAD's F3 Platform - a modern analytics platform whose architecture represents a distillation of the accumulated wisdom of over two decades of analytics platform development.

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