If you’re into computational finance, you might have heard of FinanceBench.
It’s a benchmark developed at the University of Deleware and is aimed at those who work with financial code to see how certain code paths can be targeted for accelerators. It utilizes the original QuantLib software framework and samples to port four existing applications for quantitative finance. It contains codes for Black-Scholes, Monte-Carlo, Bonds, and Repo financial applications which can be run on the CPU and GPU.
The problem is that it has not been maintained for 5 years and there were good improvement opportunities. Even though the paper was already written, we think it can still be of good use within computational finance. As we were seeking a way to make a demo for the financial industry that is not behind an NDA, this looked like the perfect starting point for that. We have emailed all the authors of the library, but unfortunately did not get any reply. As the code is provided under an permissive license, we could luckily go forward.
The first version of the code will be released on Github early next month. Below we discuss some design choices and preliminary results.