• Equity Derivatives
• FX Derivatives
• Commodity Derivatives
• Convertible Bonds
• Primary and Secondary Bonds
• Interest Rate Derivatives
• Cross Currency Structures
• Energy Derivatives
• Credit Derivatives
• Hybrid Instruments

• SciFinance®

  Model-driven design for quants.

• Cross-platform C/C++/CUDA source code generator. Reduce development time, costs and risks. SciFinance is the ultimate flexible coding solution for the in-house development of derivatives pricing models.

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• SciPDE™ and SciMC™

  SciPDE and SciMC give you the power, speed and accuracy of PDEs and the robustness, speed and flexibility of optimized Monte Carlo simulations.

  SciGPU™

  Automatically generate GPU-enabled pricing model source code. Achieve astounding accelerations: no parallel programming or CUDA expertise required.

• SciCalibrator™

  Automatically generate C/C++ source code for a broad range of calibration models.

Unlike typical modeling systems, SciFinance is not an inflexible set of library routines that offers imprecise or limited functionality for describing a pricing and risk model. SciFinance provides a concise, flexible, and extensible language that allows quants to concisely describe the fundamentals of the instrument, often with a few simple keywords. Read More...

Quickly price complex derivatives with robust standalone pricing and risk models.

• Custom Fit Pricing Models

No more "cookie cutter" approach and limited analytics. Customize pricing models to your exact requirements.

• Standard Convertible Bond Pricing Model

Broad range of convertible bond features including protected call, discrete put schedule, fixed/floating coupons, dividends, contingent conversion, credit risk, etc.

• STCDO Pricing Engine

GPU-enabled version is up to 165x faster than serial code. Employs a Gaussian copula framework with stochastic recovery based on Stein's approximation method.

• Bond Calculator

Robust suite of bond calculations for both primary and secondary bonds.

• CDS Pricer

Intensity-based framework for pricing standard credit default swaps with upfront payment and subsequent running coupons.

Take advantage of expert numerical methods to calibrate your models.

• Heston Stochastic Volatility Calibrator

Least-squares calibration of a Heston model via Levenberg-Marquardt, including asset jumps.

• Local Volatility Calibrator

Least-square calibration of Dupire's model via Levenberg Marquardt using Gatheral's SVI parameterization to fit the volatility smiles.

• 1- or 2-Factor Short Rate Calibrator

Least-square calibration for a 1 or 2 factor Gaussian model by means of Levenberg-Marquardt.

• ATM Gabillion Calibrator

Calibration for a constant coefficient Gabillion model to a collection of at-the-money future contracts.

• ATM Schwartz97 Calibrator

Calibration for a constant coefficient Schwartz97 model to a collection of at-the-money future contracts.

• CDS Calibrator

Extracts a piecewise constant hazard curve from standard CDS market quotes.

• Large Pool Model Calibrator

An implied correlation for the given expected loss specified by the tranche spreads.

• Semi-Analytic Implied Base Correlation Calibrator

Includes index based structures (e.g., DJ Itraxx, etc.)

• Yield Curve Builder

Constructs yield curves from a series of user input cash and swap rates.