[Quantlib-users] AADC Tracer for QuantLib, and a question to try it on

[Natalija K. <nat...@ma...>]

Hi all,

Dmitri Goloubentsev presented the AADC Tracer at the WBS Quant Finance
Conference in Valletta this month. It records a QuantLib calculation and
links each input, constant and executed branch to the source line that used
it, so you can see what actually produced a number. It is built on AADC,
our AAD compiler, which is in production at major banks.

Here is a small question to try it on. A 25-line pricer for a European
swaption, Hull-White model, Jamshidian engine: how many hard-coded
constants reach its price? Make a guess from the code first, then run
(Linux x86-64 or macOS on Apple silicon, Python 3.10 to 3.14; on Windows,
the product page below has a browser version):

python3 -m venv tracer && . tracer/bin/activate
pip install "aadc==2.25.2" "aadc-quantlib-tracing==1.41.4"
curl -O https://matlogica.com/downloads/swaption.py -O
https://matlogica.com/downloads/swaption_trace.py
python swaption_trace.py

It records one pricing and prints the price, the number of constant sites
and the number of branches the run fixed. f.traced_leaves() then gives each
constant with its file and line.

The Tracer is free for non-commercial and academic use; details are on
the product
page
<https://matlogica.com/products/aadc-tracer/?utm_campaign=crm&utm_source=email&utm_medium=direct&tid=quantlib-users-list-2026-10-23-01>
.

If you try it on your own pricing code, I'd like to hear what you traced.
Thanks again to Luigi for adding the Tracer to the QuantLib extensions page.

Best regards,
Natalija,
MatLogica

*About AADC: it turns object-oriented C++ and Python code into optimised
machine code at run time, with an adjoint factor below 1, so all
first-order Greeks cost less than one extra pricing. An AAD-enabled
QuantLib is on PyPI (pip install aadc-quantlib), and AADC also accelerates
ORE. Recent recognition: Celent Technology Standout 2027, Global BankTech
Awards 2026 winner, and Chartis Category Leader in AAD every year since
2023.*