Five reproducible benchmarks. One pricing engine.
Each POC opens with a scenario your team will recognize, walks through what LRDE changes, and ends with captured benchmark numbers plus a SHA-256 you can re-derive on your own hardware in five minutes with pip install numpy scipy.
The benchmark suite
From single-solve anchor to overnight risk fan-out
Each POC builds on the one before it. POC 1 proves the contour method gives the same answer. POCs 2–4 show where the structural advantage compounds. POC 5 adds the audit layer.
European Vanilla Pricing
Single vanilla call on a BS MOL grid, 9 configurations. LRDE is 5–7× faster at matching precision.
Vol Surface Revaluation
Full strike × maturity grid up to 6,000 cells. LRDE is 26–41× faster than scipy BDF.
Risk Greeks via Finite-Difference Bumping
Full Greek refresh (Δ/Γ/vega/θ/ρ) for a 200-cell book. 40× speedup, delta agreement to 24 nano-units.
Multi-Scenario Overnight Risk Fan-Out
25-trade portfolio × 200 stochastic scenarios. 8.5–12× speedup, 29 micro-units agreement per trade PV.
SolvNum Audit & Compression Overlay
SolvNum compresses LRDE outputs 3–7× with bounded relative error and a SHA-256 receipt verifiable on any platform.
Want the numbers on your own book?
Run these benchmarks on your actual vol surface.
A bounded-scope read-only benchmark against a sanitized snapshot of your real book. Two weeks, $25K, fully credited toward a Year-1 license. No production integration, no data leaving your premises.