This project on building a new quant library inspired from [C++ Design Patterns and Derivatives Pricing] Book by Mark S. Joshi
The current state of the project is on implementing the global architecture of the library to make it highly modulable by using what Mark S. Joshi detailed in his book.
Once everyting will be implemented, I plan to focus on Interest Rates Derivatives pricing and to upgrade the library to be able to handle automatic differenciation and to be able to work with Stochastic Differential Equations.