F3 delivers comprehensive, highly flexible, and scalable solutions for pricing, valuation, and risk challenges across the enterprise.

Universal Algorithmic Differentiation


FINCAD’s patented Universal Algorithmic Differentiation™ (UAD) delivers unrivaled calculation speed for greeks, hedge factors, DV01, marginal XVA, and other sensitivities, without bumping, for any model and for any valuation methodology. This technology enables firms to aquire an accurate, real-time view of the entire risk landscape for better trading and hedging decisions.

Sensitivity to all quotes

UAD is a truly universal analytic sensitivities capability, delivering comprehensive coverage in a stable and mature implementation. UAD is not constrained by portfolio boundaries, the types of trades in a portfolio, nor valuation adjustments on a portfolio. It works for portfolios with combinations of arbitrary trade type and nested portfolios to any level, affording a complete view of the exposure of an entire organization. Additionally, because the F3 engine can treat CVA as a pricing problem, UAD can provide a full sensitivity report for the CVA on a portfolio as well.

A rich set of applications is available that leverage analytic exposure computation, from hedging notionals, calculating the cost of hedging to generic gamma (convexity), Delta-Gamma VaR, profit-and-loss attribution, and generic calibration. Because analytic first-order risk is calculated so rapidly, combinations of risk reports yielding corresponding cross-sensitivities are entirely feasible.

Instantaneous for every numerical method of valuation

Not only does UAD provide analytic sensitivities with respect to every quote, but it is available in every valuation, in every model, and for every valuation method, from closed-form to backward propagation in Fourier space to hybrid Monte Carlo. Non-differentiability is handled by smoothing – every sharp edge is smoothed, from a simple “max” through conditions to sorting operations.

Real-time hedge factors

UAD delivers instantaneous hedge factors for multi-asset, multi-currency portfolios as reliably as for vanilla trades. Typical speed-up over bumping is in the range of 10x – 10000x for most applications.

In recent benchmarking on a Desktop PC with an Intel Core i7 CPU used a portfolio of approximately 250 derivative trades, UAD calculated analytic sensitivity 600x faster than traditional “bumping”. Approximately 80% of the trades were 10-year vanilla swaps paying 3-month USD LIBOR against a semi-annual coupon. The remaining 20% comprised swaptions, CDS, FRA, vanilla EUR swaps, USD-EUR cross-currency swaps, FX forwards, and equity options. The portfolio was exposed to 411 quotes. UAD calculated all 411 numbers, along with recommended hedging notionals and numbers of futures contracts for hedging in 1 second, compared to 10 minutes with the traditional finite difference (“bumping”) approach.

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Portfolio valuation and risk analytics for multi-asset derivatives and fixed income.

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UAD™ in the F3 Platform

Real-time risk with FINCAD's patented Universal Algorithmic Differentiation™