MatLogica | Finance & Insurance

Finance & Insurance

Fast Pricing, Scenario Analysis, and AAD Risks

Achieve GPU-like performance from flexible object-oriented analytics. You don't need to invest years into a risky and expensive redesign of the software or hardware. MatLogica's breakthrough solution accelerates computations and computes sensitivities faster than competing products.

GPU-Like Performance Without the GPU

Pricing, Scenario Analysis, curve fitting, VaR, XVA, and EPE can be supercharged by MatLogica's software - enabling significantly faster processing of business-critical tasks without hardware investment.

Our optimizing compiler layer simplifies model development with no sacrifice of precision. Second and higher-order Greeks, including cross-gamma, can be efficiently calculated using bump-and-revalue of the first-order AAD Greeks - far more stable than traditional double-bumping approaches.

Key Benefits for Risk and Pricing Teams

  • 6-100x faster calculations without code redesign
  • AVX2 vectorization: 8-16 scenarios per CPU cycle automatically
  • Near real-time XVA for full portfolios
  • FRTB-compliant sensitivities at production scale
  • Complete Greeks suite: Delta, gamma, vega, cross-gamma, and higher orders

Accelerate Repetitive Calculations

For Monte Carlo simulations, "what-if" scenarios, stress-testing, back-testing, or historical VaR, MatLogica's kernels automatically execute 8 to 16 samples of optimized code in one CPU cycle using AVX2 vectorization.

XVA and FRTB Sensitivities

Our AAD solution has been tested for large-scale applications calculating sensitivities, including close to real-time full portfolio simulations for XVA pricing (CVA, DVA, FVA) and risk under FRTB.

Custom Domain-Specific Languages

Define your own scripting language and compile it with MatLogica, getting the best of both worlds: runtime flexibility for traders and quants, with better than native C++ performance!

Secure Cloud Execution

Secure and confidential - MatLogica kernels can be executed in the cloud, whilst keeping your proprietary code and sensitive data on premises. Ideal for regulatory compliance.

Real-Time Model Calibration

Calibrate complex multi-asset models using Monte Carlo with tick-level data to perform close to real-time pricing and risk calculations. Enable intraday recalibration for volatile markets.

Wide Range of Models

MatLogica supports American Monte Carlo, path-wise Monte Carlo, PDE calculations, Heston, SABR, local volatility, and other advanced modeling techniques.

Production Use Cases

Risk Management

  • FRTB Sensitivities: Calculate thousands of sensitivities for regulatory reporting
  • Historical VaR: Process years of market data for back-testing
  • Stress Testing: Run thousands of scenarios with full Greeks
  • Cross-Gamma: Second-order risks for convexity management

Derivatives Pricing

  • XVA Calculation: CVA, DVA, FVA for full portfolios
  • Complex Exotics: Autocallables, barriers, multi-asset options
  • American Options: Longstaff-Schwartz with automatic Greeks
  • Model Calibration: Fit to market using Monte Carlo

Trading Operations

  • Intraday Risk: Real-time Greeks for trading desks
  • What-If Analysis: Instant scenario evaluation
  • Curve Building: Fast bootstrap and interpolation
  • Pre-Trade Analytics: Sub-second pricing with Greeks

Infrastructure Benefits

  • Reduce Compute Costs: 90%+ reduction in server requirements
  • No GPU Required: CPU-only deployment
  • Cloud Compatible: Deploy on any cloud provider
  • Legacy Integration: Works with existing C++ libraries

Quantified Performance Improvements

8-16x

Scenarios per CPU cycle with AVX2 vectorization

6-100x

Overall speed improvement vs traditional methods

<1s

Greeks calculation for large portfolios

Technical Capabilities

Models Supported: Black-Scholes, Heston, SABR, Local Volatility, Hull-White, LMM, HJM, CIR, Vasicek, and custom models

Numerical Methods: Monte Carlo (American, Bermudan, path-wise), PDE solvers (finite differences, finite elements), lattice methods, analytical approximations

Greeks Available: Delta, gamma, vega, theta, rho, cross-gamma, vanna, volga, and higher-order derivatives

Integration: C++, Python, C#, custom DSLs. Compatible with QuantLib, ORE, and proprietary libraries

Ready to Accelerate Your Risk Calculations?

Contact us for a benchmark on your actual production workloads

Schedule a Demo

info@matlogica.com

Related topics: XVA calculation AAD, FRTB sensitivities automatic differentiation, Monte Carlo Greeks acceleration, cross-gamma calculation methods, CVA DVA AAD, real-time portfolio risk, VaR calculation speed, scenario analysis performance, American Monte Carlo AAD, model calibration Monte Carlo, QuantLib acceleration, GPU alternative CPU, vectorized Monte Carlo, adjoint differentiation finance