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++

Awards

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

Supported Platforms:

• Windows
• Unix/Linux
• Mac

Licensing: license

Entries in our publication database that actually use QuantAD in the numerical experiments:  0

The following diagram shows these entries versus the year of the publication.

10+ #Entries 0
	Year