How to get nth derivative? about fastad HOT 6 OPEN

I've disabled higher-order derivatives for the time being. I have an idea of how to implement this for expressions involving only scalar variables, but have yet to figure out for multi-dimensional variables.

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One of these days I'll have time to come back to this project T-T also, it's an honor to get a comment from the great Dirk of Rcpp!

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The issue with exports with FastAD is that the expressions are fully compile-time based, meaning we cannot export atoms like log or sin and have R users build complex computation graphs using them; the full expression has to be known at compile-time. I went in with the current design knowing this limitation, thinking that the performance boost is worth the tradeoff. I'm not so sure anymore.. I was recently thinking of adding a separate support for a more dynamic approach so that I can actually do these exports.

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Oh I wasn't even thinking from R, via AST and what not. I am quite fine with keeping it simple and compile-time only.

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I like the Black-Scholes example, but one commonly wants gamma (= second derivative with respect to the current spot price). The Boost example has it too :-/

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I saw the comment in your autoppl repo about 'R would be nice'. May make sense to put RcppFastAD onto CRAN as you can then simply depend on it (just as I quickly showed as 'proof-of-concept' to @CerulloE1996 that building a package around a header-only library is indeed easy (until you get to templating the converters to/from SEXP but we leave that for another day...)

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