AD Tool: QuantAD
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QuantAD


Summary:
QuantAD® is an Automatic Differentiation tool targeted at Quantitative Finance and industries with similar requirements. 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 dramatic performance speedups 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.

URL: https://www.xcelerit.com/products/quantad/

Developers:
  • Xcelerit

Mode: Forward
Reverse
 
Method: Source transformation
Operator overloading
 
Supported Language: .NET
C#
C/C++

Awards2 times winner of best use of High Performance Computing in Finance Services
(HPCWire publication)

Supported Platforms:
  • Windows
  • Unix/Linux
  • Mac


Licensing: license

References on QuantAD in our publication database:  0

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