Overview
What this challenge is about.
Rewrite a C++17 risk pricer with AVX-512 and Highway, benchmark it, and validate numerical accuracy. Get a verifiable certificate.
The scenario
The bank (one of the top-5 Swiss commercial banks, 8-person risk-tech team) faces a FRTB deadline that doesn't move; the math is sacrosanct, the implementation is not.
The Brief
What you'll do, and what you'll demonstrate.
Vectorize a Black-Scholes-heavy VaR pricer to fit a 90-minute window using AVX-512 (with a portable Highway variant) while staying numerically equivalent within 1e-6.
Earning criteria — what you'll demonstrate
- Apply AVX-512 intrinsics to a real numerical kernel
- Write portable SIMD via Highway without sacrificing performance
- Validate numerical equivalence under vectorization
- Benchmark with statistical rigor (Google Benchmark, perf)
Program Fit
Where this fits in your program.
Sharpens the same skills your degree expects you to demonstrate.
Performance Engineering of Software Systems
Master · Systems
Strong alignment
This challenge maps to Performance Engineering of Software Systems at the Master level. It sharpens the same practical skills your coursework expects — but in a real industry context with actual constraints and deliverables.
Skills
Skills you'll demonstrate.
Each one shows up on your verified credential.
- Vectorization
Apply vectorization to solve real industry problems and demonstrate production-level capability.
- Avx 512
Apply avx 512 to solve real industry problems and demonstrate production-level capability.
- Simd
Apply simd to solve real industry problems and demonstrate production-level capability.
- Performance Optimization
Apply performance optimization to solve real industry problems and demonstrate production-level capability.
- Cpp
Apply cpp to solve real industry problems and demonstrate production-level capability.
- Benchmarking
Apply benchmarking to solve real industry problems and demonstrate production-level capability.
Careers
Career paths this challenge builds toward
Completing this challenge demonstrates skills that transfer directly to these roles: