Intel® Math Kernel Library (Intel® MKL) contains a wealth of highly optimized math functions that are fundamental to a wide variety of Financial Applications.
This article was written for the Monte Carlo Simulation of European Swaptions sample
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Learn about the Blach-Scholes benchmark, part of the benchmark suite of multithreaded programs that comprise the Princeton Application Repository for Shared-Memory Computers (PARSEC).
Contrast results for manually tuning financial data and using data layout templates in the Intel® C++ Compiler.
This is an exercise in performance optimization on heterogeneous Intel architecture systems based on multi-core processors and manycore (MIC) coprocessors.
Intel® C++ Compiler 19.0 supports General Induction, a proposed OpenMP* 5.0 feature as an extension to the existing linear clause.