6 ms·
Didn't yet go through the work posted, though at multiple investment banks the pricing/risk engines make use of _compute graphs_ which have a similar execution
by thelastbender12 8y ago
Didn't yet go through the work posted, though at multiple investment banks the pricing/risk engines make use of _compute graphs_ which have a similar execution style. Only recompute nodes that get invalidated on change in input data and propagate till the output.