Algorithmic Differentiation Made Easy

QuantAD® is the first Automatic Differentiation tool targeted at Quantitative Finance. It offers a robust and efficient alternative to finite difference (“bumping”) for computing sensitivities. With minor changes to the existing program in C++ or C#, the user is able to AD-enable the whole code base and automatically compute a large number of sensitivities with up to 2 order of magnitude speedup compared to the traditional bumping approach. QuantAD has been designed from the ground up to cope with large code bases found in Quantitative libraries using numerical methods such as Monte-Carlo, Finite Difference, and Lattice-Based Schemes.

Algorithmic Differentiation Made Easy

Fast

Dramatically boost the performance of sensitivities calculation

Easy to Use

Easily AD-enable existing code

Minimum Memory

Minimise the memory footprint of AD-enabled code

Supported Operating Systems

Eurico Covas - Head of QRVG Development and Hedge Accounting Systems

From our point of view, this is a very good solution. We can get the speedups we require, maintain a single codebase and run the executable on any of our in-house facilities. This is a very efficient way to cut infrastructure and development costs

Eurico Covas - Head of QRVG Development and Hedge Accounting Systems / HSBC

Mike Giles - Professor of Mathematical Finance and Scientific Computing

I really like Xcelerit technology for Monte Carlo applications. The API is very clean, and the implementation is very elegant. I can see this approach doing very well with the banks who will like this better than the turn-key solutions that most other ISVs develop.

Mike Giles - Professor of Mathematical Finance and Scientific Computing / University of Oxford

Credit Risk Quant

Xcelerit technology helped us boost a complex credit risk computation. No expert programming skills were required and with only minor changes to our original sequential code we observed a dramatic performance increase.

Credit Risk Quant / Societe Generale

Quant

Xcelerit does exactly what it says on the tin – delivering great performance without the need to worry about the hardware details.

Quant / Lloyds Banking Group


Find Out More

top
Ask A Question