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A fast C++ routine for linear interpolation in arbitrary dimensions (i.e., multilinear interpolation). |
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A high-performance, open-source, header-only C++(>=11) library for pricing derivatives. More generally, QuantPDE can also be used to solve Hamilton-Jacobi-Bellman (HJB) equations and quasi-variational inequalities (HJBQVI). |
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A Python package providing fast and accurate routines to compute various quantities in the Engset model. |
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A python-tabulate wrapper for producing tables from generators. |