Cutting edge introduction: Adjoints - maintaining the legacy

Quants at UBS show how to speed up the calculation of sensitivities without tearing up legacy code

techtree2

Adjoint algorithmic differentiation (AAD) has been gathering momentum over the past two years, with an increasing number of banks ditching more traditional ways to speed up the calculation of risk sensitivities – such as graphics processing units (GPUs) – for the cheaper and more tractable mathematical technique.

Members of the AAD club already include Banca IMI, Barclays, Credit Suisse, Danske Bank, Natixis and Nomura, and more are exploring its potential (Risk January 2015).

It is, of course,

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