Speed-up estimate Your code, measured free in two weeks.
At no cost, and on your hardware: we measure one calculation with your team and send the report. You get written findings, the gains on offer, where AAD and code generation with XAD pay back, and a fixed quote for the build.
Not ready to share code? The first step needs none: a short call with one of our engineers, and the sample report. See the sample report
What you get
- Measurements of the code on your own hardware
- Where the time and the cost go
- A quantified roadmap: each change and its expected gain
- Where AAD sensitivities with XAD would replace bumping, and how we would verify them against your bumped numbers
- A read-out with your team, the report to keep, and a fixed quote for the build
How it runs
- You send a representative kernel, or one pricer with one test case: not production code, and never production data.
- By default it runs inside your bank, on your hardware: our engineer works with your team on a call, and nothing leaves the bank.
- The two weeks start at the first working session, once the kernel builds on your machine. Before that, only a mutual NDA.
Where it pays
- FRTB sensitivities and expected shortfall, after go-live too
- SA-CVA capital and XVA sensitivities
- SIMM and MVA
- Pricing and risk libraries in C++ or Python, QuantLib
“Our standardised-approach sensitivities went from about eight hours of compute to under one, on the same grid. That is the slack we wanted before go-live, not after it.”
Head of Market Risk Technology, European bank
Clients include
What you get
The report, in one page
The summary page of a speed-up estimate report: a fictional bank and illustrative numbers, in the format you receive. The full report covers every calculation we measure; ask about it in the form above.
Speed-up estimate report · summarySample · fictional bank · illustrative numbers
- Calculation
- FRTB standardised approach: daily delta and vega sensitivities
- Book
- 42,000 trades, 120 risk factors per trade on average
- Grid
- 1,800 cores, the bank's own scheduler
- Today
- 9.5 h for the daily batch, against a 6 h window
Where the time goes
Roadmap
| Change | Batch time saved | Effort |
|---|---|---|
| AAD with XAD in place of bumping, every sensitivity checked against the bumped numbers | 6.4 h | 6–8 weeks |
| Cache curve and surface builds across trades | 0.7 h | 1 week |
| Load market data once per node, binary format | 0.4 h | 2 weeks |
Today9.5 h
After the roadmap2.0 h
Next stepA fixed quote for the build
