Cutting edge introduction: Adjoints - maintaining the legacy
The adjoint method for calculating sensitivities may be quick and cheap, but it requires a top-to-toe overhaul of pricing code. A new technique developed by quants at UBS allows it to be deployed with minimal coding changes. Nazneen Sherif introduces this month’s technical articles
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
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Markets
Ice flow weathers geopolitics and supply storms
Talking Heads 2026: Network size and liquidity see exchange group through volatile times and novel products
Banks peg range accrual coupons to CDS spreads
Morgan Stanley and BNP Paribas tie note coupon barriers to French sovereign and iTraxx Europe CDS spreads
How hedge funds ‘hooked’ on carry fuelled rates mayhem in Europe
Short-volatility traders with ‘weak hands’ may have created a market that breaks easily under stress
NAIC proposal hints at wider scrutiny of insurer investments
US life insurers have pushed back on a proposed change to capital rules for asset-backed securities
Hedge funds target euro downside amid France unrest
Turmoil drives demand for EUR/USD exotics, pushing up back-end euro vols
Little consensus on how banks manage FVA
Risk Benchmarking: Majority of dealers still mix and match methodologies for funding adjustments
Swap spread swings push US corporates to rethink locks
Volatile swap spreads have issuers weighing a shift from swap locks to costlier Treasury locks for pre-issuance hedges
Trading platforms evolve for a cross-asset market
As trading becomes increasingly cross-asset, platforms are evolving to deliver consistent workflows, connectivity, intelligence and end-to-end execution efficiency
