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
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).
The Black-Scholes benchmark is a one of the 13 benchmarks in the PARSEC. This benchmark does option pricing with Black-Scholes Partial Differential Equation (PDE). The Black-Scholes equation is a differential equation that describes how, under a certain set of assumptions, the value of an option changes as the price of the underlying asset changes. Based on this formula, one can compute the...
Contrast results for manually tuning financial data and using data layout templates in the Intel® C++ Compiler.
Threading and Memory Analysis of Financial Applications with Intel® Inspector
Michael D’Mello, Ravi Vemuri
Financial service customers need to improve financial algorithmic performance for models such as Monte Carlo, Black-Scholes, and others. SIMD programming can speed up these workloads. In this paper, we perform data layout optimizations using two approaches on a Black-Scholes workload for European options valuation from the open source Quantlib library.