vectorisation

Applying Vectorisation to CVA Aggregation

Thursday, November 2, 2017
Join Quantifi and Intel for this complimentary webinar on vectorisation. New challenges in the financial markets driven by changes in market structure, regulations and accounting rules like Basel III, EMIR, Dodd Frank, MiFID II, Solvency II, IFRS... read more

Vectorisation: The Rise of Parallelism

Thursday, July 13, 2017

by Quantifi & Intel

New challenges in the financial markets driven by changes in market structure and regulations and accounting rules like Basel III, EMIR, Dodd Frank, MiFID II, Solvency II, IFRS 13, IRFS 9, and FRTB have increased demand for higher performance risk and analytics. Problems like XVA require orders of magnitude more calculations for accurate results. This demand for higher performance has put a focus on how to get the most out of the latest generation of hardware. Vectorisation is a key tool for dramatically improving the performance of code running on modern CPUs. Vectorisation is the process of converting an algorithm from operating on a single value at a time to operating on a set of values at one time. Modern CPUs provide direct support for vector operations where a single instruction is applied to multiple data (SIMD).