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Quantitative Finance · Glossário

O que é Structure of arrays?

Definition 14.5 Low-Latency Software · Capítulo 14 — Vector Instructions and Data-Parallel Code

A structure of arrays stores a collection of records as one array per field, so that the same field of consecutive records is contiguous in memory; the usual layout, one record after another, is called an array of structures.

The same options book as records and as columns. Revaluation reads five of the record’s fields; as columns, each field of four consecutive options fills one 256-bit register.
Figure 14.3. The same options book as records and as columns. Revaluation reads five of the record’s fields; as columns, each field of four consecutive options fills one 256-bit register.
Revaluing an options book from its Greeks, stored as 80-byte records or as columns, compiled at three flag sets by GCC 11: in cache (1 024 options) and from memory (220 options, 80 MB of records). Measured on a laptop (Intel Core Ultra 7 155H) under WSL2, no isolated cores. Data: bench_simd.py.
Figure 14.4. Revaluing an options book from its Greeks, stored as 80-byte records or as columns, compiled at three flag sets by GCC 11: in cache (1 024 options) and from memory (2202^{20} options, 80 MB of records). Measured on a laptop (Intel Core Ultra 7 155H) under WSL2, no isolated cores. Data: bench_simd.py.
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