google/tf-quant-finance
This library provides high-performance components leveraging the hardware acceleration support and automatic differentiation of TensorFlow. The library will provide TensorFlow support for foundational mathematical methods, mid-level methods, and specific pricing models. The coverage is being expanded over the next few months. The library is structured along three tiers: Foundational methods.
https://github.com/google/tf-quant-finance#examples
Seonglae Cho
