MatLogica | MatLogica Solutions: Acceleration & AAD for Quantitative Finance

MatLogica Solutions: Acceleration & AAD for Quantitative Finance

Performance Acceleration and Automatic Adjoint Differentiation

With our solutions, you can code in traditional object-oriented languages such as C++, C#, or Python, and MatLogica will take care of the tedious tasks such as performance optimization, vectorization, multi-threading, and automatic differentiation for derivatives pricing and risk calculations.

MatLogica Solutions for Quantitative Finance Performance

MatLogica provides three integrated solutions for quantitative finance optimization that enable developers to code in object-oriented languages (C++, C#, Python) while automatically benefiting from performance optimization, vectorization, and automatic differentiation. Problem: Modern compilers for object-oriented languages are not optimized for calculation-intensive tasks in quantitative finance. Extensive use of abstraction and virtual functions allows easy-to-read code but carries high performance penalties. Writing high-performing vectorized and multi-thread safe code is tedious, time-consuming, and results in hard-to-maintain code. Solution 1 - MatLogica Accelerator: Utilizes native CPU vectorization (AVX2/AVX512) and multi-threading to deliver GPU-comparable performance on standard CPUs. For Monte Carlo simulations, historical analysis, and what-if scenarios, speeds increase by 6-100x depending on original performance. The accelerator leverages modern CPU capabilities: 100 cores with 2 AVX512 modules provide computational power equivalent to approximately 16,000 CUDA cores when accounting for higher clock frequencies. Solution 2 - AADC Library: Automatic Adjoint Differentiation Compiler that calculates derivatives essential to finance, machine learning, and scientific computing. The innovative compiler speeds up the AAD method itself (not just underlying calculations) and delivers pricing and scenario analysis unattainable with competing products. Unique advantage: enables AAD calculations in legacy code without extensive source code changes, whereas alternative solutions require major code refactoring. Solution 3 - GPU Alternative: Rather than generating machine code for GPU backend, MatLogica takes existing CUDA/GPU analytics and runs them on scalable CPUs with AVX2/AVX512 vectorization, multiple cores, increased memory capacity, and adds AAD capabilities. This approach combines the computational power of modern CPUs with flexibility and cost-effectiveness while adding automatic differentiation unavailable in pure GPU solutions. Value proposition: Developers focus on adding business value while MatLogica handles performance optimization, vectorization, multi-threading, and automatic differentiation automatically.

Modern compilers for object-oriented languages like C++, C#, and Python are not optimized for calculation-intensive tasks in quantitative finance. Extensive use of abstraction and virtual functions allows developing easy-to-read code but the performance penalty is high for Monte Carlo simulations and derivatives pricing.

Writing high-performing vectorized and multi-thread safe code is a tedious and time-consuming task, while the result is usually hard to maintain for quantitative models. MatLogica helps developers focus on adding value to financial models, automatically taking care of performance optimization, vectorization, and automatic differentiation.

Our Solutions for Quantitative Finance

MatLogica Accelerator

MatLogica's accelerator utilizes native CPU vectorization (AVX2/AVX512) and multi-threading, delivering performance comparable to a GPU on standard CPUs. For problems such as Monte Carlo simulations, historical analysis, and "what if" scenarios in derivatives pricing, the speed can be increased by 6-100x, depending on the original performance characteristics.

MatLogica Accelerator diagram showing CPU vectorization and multi-threading for 6-100x speedups

AADC Library (Automatic Adjoint Differentiation Compiler)

Calculating derivatives is essential to quantitative finance, machine learning, and numerous other scientific and engineering industries. Our innovative compiler can speed up the AAD method itself, and deliver pricing and scenario analysis unattainable with competing AAD products. MatLogica's approach enables AAD calculations in legacy code without extensive source code changes, whereas alternative solutions require extensive effort and major code refactoring.

AADC Library automatic adjoint differentiation for derivatives calculation in finance

GPU Alternative: CPU-Based CUDA Migration

We don't currently support machine code generation for GPU backend. Instead, we can take existing analytics implemented for CUDA/GPU and run them on scalable CPUs taking advantage of AVX2/AVX512 vectorization, multiple cores, increased memory capacity, and automatic adjoint differentiation capabilities.

GPU alternative showing CPU with AVX512 vectorization as CUDA replacement