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.
The Black formula is arguably the most important function in quantitative finance, and is either used directly (for pricing) or indirectly (for quotation), in most pricing calls. This article presents benchmarks for evaluating the formula.
Elementary functions are those that implement basic mathematical operations like exponentiation and logarithms. Swapping out numerically equivalent elementary operations is a cheap and easy way of improving runtime performance. This article presents benchmarks for three important elementary functions.