Does anybody have experience using a Matrix Template Library for high-performance applications in finance?

Not sure whether I got your problem. Based on my background, I used some matrix libraries many years ago, however at that time no real template libaries...

I guess you are using C++? Could you interface to Fortran, have you researched on the various libraries available, such as the old SCALAPACK, LAPACK, or MAGMA etc? MTL4?
see also www.cscs.ch/fileadmin/user_upload/contents_publications/tutorials/handson_intro_to_PETSc/CSCS_libraries.pdf for an overview of various libraries... you should read it...

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