APA & AGA implementation is simpleMaximum delivery, minimal fuss
MoCaX delivers the APA and AGA methods in a shared Dynamic Link Library (DLL). Its implementation is very simple.
The DLL is added to your code. Two simple steps are needed:
- The MoCaX version of the pricers are created
- When the current existing risk engine calls the pricers, that line of code is changed so that it calls the MoCaX version of the pricers
Integration can be done by modules or following a big-bang approach
- You can implement MoCaX modularly by group of trades types, portfolios, desks, etc
- Alternative you can implement MoCaX to the whole Risk Engine in one go
AAD, GPU, etc
The APA & AGA methods within MoCaX are fully compatible with other accelerating techniques like AAD or GPU.
You can implement MoCaX before, after or in parallel to them.
However… MoCaX integration and maintenance effort tends to be much smaller compared to other accelerating techniques.
Save & Use
MoCaX accelerated replica of your pricing functions can be saved and re-used later in your Risk Engine or anywhere in your organisation,