Code example

Practical example of MatLogica supercharging XVA

In this short demo you will see a practical example of how MatLogica AADC was used to achieve multithreading and 350x speed-up for XVA pricing for a portfolio of swaps and swaptions

How to speed up QuantLib?

Our quant team spent 1 day to integrate QuantLib and ORE with MatLogica AADC. As a result, the library was enhanced with automatic optimisations, native CPU vectorisation and safe multi-threading. We observe 350x performance improvement on XVA pricing for a portfolio of 5 swaps and swaptions.

If scaled to real-life examples to portfolios of 1000 swaps/swaptions, the execution would take just under 4 minutes - instead of 20 hours.