From AAD training to AAD in production

How a bank's quant team went from the AAD course to its first XAD pricer checked against bumping within six weeks, and into production about four months later, after validation.

A bank's quant team wanted AAD sensitivities in its own pricing library, built and owned by its own people rather than handed over. The team knew the theory; what it lacked was the practice of applying AAD to a large existing C++ code base: where to start, how to keep the plain build intact, and how to show validation that the derivatives are right.

Xcelerit ran the AAD course for the team, with exercises on the bank's own code. Within six weeks of the course the team had its first pricer AAD-enabled with XAD and checked against bumping. After the bank's model validation, it went into production about four months later. The team runs XAD under an XAD Commercial subscription and is extending AAD to further pricers.

Challenge

AAD in the bank's own library, built and owned by its own quants

What we did

AAD training, with exercises on the bank's own code

How it was checked

Reconciliation against the bank's bumped sensitivities; production date after the bank's model validation

Client-reported outcome. Exact figures are in the case study PDF, on request.

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