high-performance-computing

We currently have read and write capabilities but do not support deleting. We could add a few calls like delete delete_all and some recursive way of deleting.

Heston model has accurate density approximations for European option prices, which are of interest.

The module implementing this method should live under tf_quant_finance/volatility/heston_approximation.py. It should support both European option puts and calls approximations. Tests should be in heston_approximation_test.py in the same folder.

Just an FYI whilst I was trawling through the ROCm GitHub page:

https://rocmdocs.amd.com/en/latest/Programming_Guides/Programming-Guides.html#

utils::ptr_vector<T> serves a similar purpose like smart pointers from std. We should remove this implementation in favor of smart pointers from std.

I already took care of replacing utils::ptr_vector<T> with std::unique_ptr in precice/precice#1159, but there are many more places, where utils::ptr_vector<T> is used.