nZetta Derivatives Pricing Toolkit

Ultra-fast financial calculations on modern technologies. 

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nZetta Derivatives Pricing Toolkit

High-Performance Derivative Pricing Components  


nZetta Toolkit C++17 components are precision engineered using high-performance algorithms and the latest approaches specific to finance industry needs. With the nZetta Toolkit, you can write code once and seamlessly execute it on various platforms, including x86 single-threaded, x86 thread-distributed, or GPU, without any need for modification. This flexibility allows you to effortlessly switch between technologies, empowering quants to harness the full potential of their code while staying at the forefront of innovation. 

Includes generators, correlation & repair, Brownian-bridge, antithetic, tranching, skip-ahead, regression, reduction, fast processes.


The nZetta Monte Carlo achieves over 15× speed-up on single-threaded x86 and over 120× speed-up on low-end GPU using the same quant code.


nZetta Toolkit Monte Carlo Performance Plot

A C-API drop-in replacement supporting Douglas-ADI, Craig-Sneyd, Modified Craig-Sneyd, and Hunsdorfer-Verwer methods along with necessary ancillary functions.


With the nZetta Toolkit you can easily investigate and choose the best method for your problem; for a given desired accuracy, Hunsdorfer-Verwer can be 30% faster than Modified Craig-Sneyd.

nZetta 2D-PDE Performance Plot

Interpolators, processes, volatility models, etc.

Full tensor mathematics, shaping, regressions, reductions, windowed reductions. Fully vectorize your pricing library. 

Ultra-fast compute on modern technologies

Faster Compute: Monte Carlo, PDEs, CVA, XVA…

Lower Compute Costs

Optimized GPU, CPU, AAD Utilization

Quick and Easy System Integration  

More Quant Time, and More Opportunities

Harness software and hardware innovation: AAD and GPU

nZetta Toolkit components offer a substantial performance boost for your current libraries or can serve as a standalone, cutting-edge library in itself, facilitating the rapid development of new models. The nZetta Toolkit enables utilization of software and hardware innovations such as Adjoint Automatic  Differentiation and GPU advances.

Adapt to heavily moving markets

New trading strategies: Real-time or intraday risk, and CVA

Delivering innovative derivative pricing products

Develop new hedging strategies

Faster electronic trading of exotic instruments

Better and faster data-driven decision making 

Developed and supported by finance and maths experts

The nZetta Toolkit is developed by Zettamatics, experts in financial modeling, and NAG, the world’s leading provider of advanced mathematical analytics. This partnership merges Zettamatics’ extensive decades-long experience in front-office banking with NAG’s pioneering analytics capabilities. The result is the nZetta Toolkit, a collection of state-of-the-art components for derivative pricing that not only offers unmatched speed but is backed up with a strong technical foundation you can rely on with utmost confidence.

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