SciFinance: The Advantage for Derivatives Pricing Model Development

Robust pricing model calibration

SciComp customers benefit from two types of solutions for model calibration. SciCalibrator is a module of SciFinance that gives users the ability to develop their own calibration functions. Ready-n-Customizable Calibrators is a suite of robust, ready-to-use, calibration solutions.

SciCalibrator

derivatives calibration

SciCalibrator is a module of SciFinance that allows users to specify calibration problems at a high level and then generate the corresponding C-family source code for use with a given pricing model or as a standalone routine.

SciCalibrator includes an extensive library of very fast analytic and semi-analytic pricing functions for use in building calibrators, including parameterized local volatility, stochastic volatility (with and without jumps), and pure jump models; generic short rate and reduced form credit models with calibration to volatility term structure of cap/swaptions and CDS spreads or corporate bonds; and LIBOR Market Model calibration.

Many models accommodate time dependent parameters, either exactly through numerical methods or through fast approximate analytic functions. Available optimization techniques include Levenberg-Marquart and simulated annealing.

Ready-n-Customizable Calibrators

SciComp Consulting offers Ready-n-Customizable Calibrators, a suite of robust, ready-to-use calibration solutions. Based upon industry standard model dynamics, Ready-n-Customizable Calibration Models can be integrated with existing trading and risk systems or used as standalone products. All Ready-n-Customizable Calibration Models can easily be enhanced to meet a customer’s particular requirements

 


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