Algebraic simplifiers are submodules of the SimianQuant processing pipeline that use isomorphisms of the rules taught in algebra class to reduce expression complexity. They are significantly more powerful than the constant folders and common subexpression eliminators that are a part of modern compilers, and are a major contributor to the performance step achieved by the library. This article illustrates that contribution.

Conditional Graph Factorization is a submodule of the SimianQuant code generator that generalizes the concept of calibration. Given a sequence of partitions of the domain, it factorizes the full computational graph into a sequence of subgraphs conditional on the respective partition and the inferred codomain of the previous subgraph. This article illustrates the principle and some applications.

Two dimensional interpolation is a simple and useful approach to model the volatility surface. SimianQuant’s algebraic simplifiers can reduce many classes of two-dimensional interpolators into one dimensional problems. This article compares Strata’s implementation of BiLinear and LinearCubic interpolation against those generated using the SimianQuant library.

One dimensional interpolators are some of the simplest functions implemented by mathematical libraries. This article compares Strata’s implementation of linear and cubic spline interpolation against their equivalents generated using the SimianQuant library.

The Stochastic Alpha, Beta, Rho (SABR) volatility model is a popular approach to model the volatility smile. This article presents benchmarks of implementations of the asymptotic solution of the model for the volatility and volatility adjoint of a vanilla European option.