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Wednesday, September 18 • 09:35 - 10:05
Expression Templates for Efficient, Generic Finance Code

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Our legacy code for pricing financial options suffered from being written in a style that made the logic of the code difficult to follow and created performance bottlenecks. This presentation will show how a small expression template library can allow mathematical code to be updated so that even complex expressions are clear to the reader and allows code to operate on both scalars and vectors enabling substantial performance optimisations. Additionally, it will show that these updates can be done without substantially disturbing the existing code or duplicating it which simplifies testing and decreases the chances that bugs and inconsistencies are introduced. The presentation will also look at how features of C++17/C++20 make expression templates easier to implement than ever before and some implementation details so as to give the audience a starting point should they wish to utilise expression templates in their own code.

avatar for Bowie Owens

Bowie Owens

Software Developer, CSIRO
Bowie Owens is a software developer working at Data61, a part of the Australian government funded research organisation CSIRO. The team he works in develops complex mathematical models for pricing financial options. The software developed at Data61 is integrated into a larger trading... Read More →

Wednesday September 18, 2019 09:35 - 10:05 MDT
Crest 3