AADC Integration Quick Start: 3-Step Integration in Weeks

Use MatLogica's Automated Integration scripts to replace standard `double` with `idouble` (AADC's active type) for variables involved in the computational flow.

double price = monteCarloPrice(
    spot,
    vol,
    rate
);

idouble price = monteCarloPrice(
    spot,  // idouble
    vol,   // idouble
    rate   // idouble
);

• ✓ Maintains identical numerical results
• ✓ Code compiles and runs at full speed
• ✓ No slowdown during development (unlike tape-based AAD)
• ✓ Ready for Step 2

Identify the pricing/simulation function to optimize, mark inputs and outputs, and instruct AADC to record the computational graph. This generates an optimized binary kernel.

// 1. Create AADC context
AADC::Context ctx;

// 2. Mark inputs
idouble spot = 100.0;
idouble vol = 0.2;
ctx.markInput(spot);
ctx.markInput(vol);

// 3. Start recording
ctx.startRecording();

// 4. Execute function once
idouble price = myPricingFunction(spot, vol);

// 5. Mark output
ctx.markOutput(price);

// 6. Generate kernel
auto kernel = ctx.stopRecording();

• Branch handling: Ensure all code branches are covered
• Typically 10-20 lines added: Minimal changes to your codebase
• One-time cost: Recording happens once, kernel used repeatedly
• Fast compilation: Kernel generation takes milliseconds to seconds

Use the generated kernel instead of the original function. Compute valuations AND all derivatives simultaneously with 6-100x performance improvement.

// Process portfolio
for (auto& trade : portfolio) {
    // Set inputs
    std::vector<double> inputs = {
        trade.spot, trade.vol, trade.rate
    };

    // Execute kernel - computes price + all derivatives
    auto result = kernel.execute(inputs);

    // Extract results
    trade.price = result.value();        // Original value
    auto greeks = result.adjoints();     // All derivatives

    trade.delta = greeks[0];  // ∂price/∂spot
    trade.vega = greeks[1];   // ∂price/∂vol
    trade.rho = greeks[2];    // ∂price/∂rate
}