CppCon 2019

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.