In a recent article by Anthony Malakian, Editor at Large, at WatersTechnology, he discovers how a new technology stack has enabled significant speed-ups for Scotiabank in calculating its valuation adjustments.
Using a technology stack of cloud GPUs, provided by Microsoft Azure, NAG Algorithmic Differentiation software tools, dco/c++, dco/map and the NAG AD Library, and Origami, a Grid/Cloud Task Execution Framework provided by Xi-FINITIQ and NAG in partnership, Scotiabank achieved an impressive runtime speedup of x30 for their risk calculations and derivatives pricing. In the words of Anthony Malakian this “allows brokers to deliver more accurate derivatives pricing in 20 seconds, which would previously have taken 10 minutes”.
To read the article in full click here.
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