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Speed Wins in Competitive Markets

When milliseconds matter, AADC gives you the edge. Price exotic derivatives in real-time, deliver complete Greeks instantly, and manage risk continuously—capabilities your competitors don't have.

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Ultrafast RFQs

Respond in seconds with complete pricing and risk. Win competitive bids with speed.

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Free Greeks

Adjoint factor <1 means all sensitivities faster than just price. No trade-offs.

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Live Risk

See your risk profile update continuously. Trade with confidence, react instantly.

Explore Front Office Use Cases

The Front Office Challenge

What's Holding You Back

Slow pricing losing competitive RFQs
Limited Greeks preventing optimal hedging
Complex exotics taking too long to price
Intraday risk updates not feasible
Model development bottlenecks
What-if scenarios too slow for clients

What AADC Enables

Real-time pricing for complex structures
Complete Greeks automatically computed
Live Risk updates as markets move
Instant hedging strategy analysis
Fast calibration for accurate pricing
American options with full sensitivities

Front Office Use Cases

Real solutions for real trading challenges, proven in production at major banks

Derivatives Pricing & Monte Carlo Simulations

What AADC Accelerates: Your existing derivatives pricing models—whether European Monte Carlo, exotic structures, or American options—with automatic AAD. You provide the models; AADC provides the speed and automatic derivatives.

Supported Product Types:

European Monte Carlo with full AAD
Path-dependent options (Asian, lookbacks, cliquets)
Multi-asset simulations with correlation Greeks
Exotic derivatives (barriers, digitals, autocallables)

Phoenix structures with memory features
American options with full AAD
Callable bonds and convertibles
Longstaff-Schwartz regression with AAD

Business Impact

Real-time pricing for complex exotics (minutes → seconds)
Ultrafast RFQ responses winning competitive deals
Intraday risk recalculation for active management

Better hedging strategies with complete sensitivities
Production-ready American pricing with full AAD
Previously impossible calculations now practical

Key Advantage: Adjoint factor <1 means computing price + all Greeks faster than just computing price alone. You get complete sensitivity analysis for free—actually negative cost. Calculations previously considered too expensive are now practical for every trade.

Greeks Computation & Sensitivity Analysis

The Traditional Problem: Bump-and-revalue requires N+1 calculations for N Greeks. Expensive, slow, and introduces numerical errors. Most traders compromise—computing only critical Greeks, missing important risk dimensions.

What You Get Automatically:

First-Order Greeks

Delta
Vega
Theta
Rho
Cross-gamma (correlation)

Quality Benefits

No finite difference errors
Stable Greeks
Exact derivatives
Consistent across products

Higher-Order Greeks

Gamma (by bumping AAD delta)
Vanna
Volga
Also accelerated!

Trading Impact

Better hedging decisions with complete sensitivity profile
No compromises on which Greeks to compute—get them all
Risk-adjusted pricing based on complete picture

Reduced hedging costs through optimal strategies
Confidence in risk profile for every trade
Higher-order Greeks when needed (still fast)

Real Example: Traditional approach: Price 100 seconds, compute 10 Greeks requires 1100 seconds total. With AADC: Price + 10 Greeks in 80 seconds. You're getting 11 calculations in less time than the original took for one. This changes hedging economics completely.

AAD: Breaking the Primal Barrier

Business Impact

Dramatic reduction in computation time for multiple sensitivities
Scalability to problems where traditional AAD fails
Lower memory usage

Technical Findings

Hybrid approach outperforms Adept/ADOL-C by orders of magnitude
Linear scaling with cores and vector width
Compilation time ~400x primal but reusable

Live Risk & Real-Time Portfolio Management

The Game-Changer: Until AADC, real-time portfolio revaluation with complete Greeks was considered impossible for complex portfolios. Traders relied on overnight batch jobs, flying blind during volatile markets. AADC makes Live Risk practical—not aspirational.

Live Risk Capabilities:

Continuous revaluation - Portfolio updates sub-second
Streaming Greeks - Sensitivities update as markets move
Real-time scenarios - Immediate what-if analysis

Market data integration - Live feeds trigger updates
Intraday P&L - Know your position constantly
Alert system ready - React before limits breached

Competitive Advantage

See risk instantly - No waiting for batch jobs
Better hedging timing - React before opportunities pass
Reduced P&L volatility - Active intraday management

Trade with confidence - Full risk picture always visible
Avoid surprises - No dangerous end-of-day discoveries
Capabilities others lack - Your competitors don't have this

Client Results: Complete Python Platform in Under One Year

Business Impact

Replaced expensive vendor tools
Scalable cloud-based architecture
<1 year to production (vs 2+ years traditional)
20x ROI by year 2

Technical Findings

Pure Python codebase with AADC acceleration
Cloud-based deployment architecture
Superior performance vs vendor solution
Dramatically reduced operational costs

Model Calibration with AIFT

Fast Calibration = Accurate Pricing: Model calibration is the hidden bottleneck in derivatives pricing. Slow calibration means stale parameters, inaccurate pricing, and poor hedging. AIFT (Automated Implicit Function Theorem) provides automatic gradients through optimization—no code refactoring.

Supported Calibrations:

Volatility surface - Fast and accurate fitting
Interest rate models - Hull-White, LMM calibration
Credit spreads - CDS and credit curves

Automatic gradients via AIFT
No refactoring - Works with existing optimizers
All model types - Stochastic vol, local vol, etc.

Trading Impact

10-50x faster calibration (minutes → seconds)
Real-time recalibration as market conditions change
Better model accuracy from frequent updates

More accurate pricing with fresh parameters
Better client pricing = higher win rates
Faster regulatory updates when models change

Industry Recognition: AIFT was the most downloaded article on Risk.net in 2022. It's the critical technique for implementing Live Risk with AAD—enabling derivatives through optimization without code refactoring. This innovation makes real-time calibration practical for the first time.

Multi Interest rate Curve fitting and Live Risk using QuantLib and AADC

Payoff Language for Structured Products

Empower Structurers, Not Just Quants: Define your own domain-specific payoff language and compile it with AADC. Structurers and traders can define complex payoffs at runtime—with production-grade performance and automatic Greeks. No waiting for IT, no performance compromise.

How It Works:

Design your syntax - Create payoff language tailored to your business
Runtime flexibility - Define new structures without code releases
Compositional contracts - Build complex payoffs from simple building blocks

Compiled performance - Better than hand-optimized C++
Automatic Greeks - Every custom payoff gets full sensitivities
Single kernel - Your DSL compiles through AADC's JIT compiler

The Traditional Problem:

Structured products require a painful choice: flexibility OR performance. Interpreted payoff languages are flexible but slow. Hard-coded C++ is fast but requires developer time for every new structure. Result? Quants become bottlenecks, clients wait weeks, deals are lost.

AADC eliminates this trade-off. Your custom payoff language compiles to optimized machine code with automatic AAD—giving structurers the flexibility they need with performance that exceeds hand-written code.

Business Impact:

Structurers define products directly - No IT queue, no developer dependency
Same-day product innovation - Test multiple structures before lunch
Bespoke client solutions - Custom payoffs without custom development
Full risk management - Automatic sensitivities for every exotic structure
No performance penalty - Runtime flexibility with compiled speed
Faster time-to-market - Launch new products ahead of competition

The Numbers That Matter

6-1000x

Faster Execution

Minutes become seconds. Hours become minutes.

Adjoint Factor

All Greeks faster than just price alone.

<1%

Code Changes

Minimal integration effort for massive gains.

Real-World Impact: Win more competitive RFQs. Make better hedging decisions. Trade with confidence. Your competitors are still waiting for their overnight batch jobs.