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XAD is a fast and comprehensive open-source C++ library for automatic differentiation. It targets production-quality code at any scale, striving for both ease of use and high performance.

Key features:

  • Forward and adjoint mode for any order, using operator-overloading
  • Checkpointing support (for tape memory management)
  • External functions interface (to integrate external libraries)
  • Thread-safe tape
  • Formal exception-safety guarantees
  • High performance
  • Battle-tested in large production code bases

Try XAD with QuantLib

As a demonstrator of integration with real-world code, the latest release of QuantLib is AAD-enabled with XAD. The performance achieved on sample applications is many-fold superior to what has been reported previously with other tools. A small adaptor module (also open-source) is required between the two projects, which contains build instructions, tests, and examples.

Commercial Licenses

Whether you are carrying out early stage R&D, prototyping or large scale deployment, our flexible licensing options will meet your needs at every stage of the journey. XAD allows anyone to get started with our AGPL license while our commercial source-code licenses support development and delivery of enterprise applications.
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  • Allow deployment in an enterprise setup
  • Open-source code (auditable)
  • Professional support
  • Access to premium resources

About Xcelerit

Xcelerit is a leading provider of cutting edge analytics solutions for Quantitative Finance, Engineering, and Research. The company’s mission is to accelerate the pace of business, innovation, and scientific discovery.

Xcelerit extensive experience enables the firm to deliver full solutions from expert training, advisory, and bespoke products. Its distinct competitive advantage derives from the unique combination of domain specialist knowledge and cutting-edge software expertise. This allows the firm to forge the most efficient solutions to better address our clients’ needs.

Xcelerit has received recognition as a finalist in the Red Herring Europe Top 100 award, the Red Herring Top 100 Global award, and the only two-time winner of HPCwire’s “Best use of High Performance Computing in Financial Services” award. Our satisfied customers include the leading firms in investment banking, asset management, and insurance. We inform and are informed through close partnerships with the world’s leading technology firms, including IBM, Intel, Nvidia, and many others.