
SciCalibrator is a module of SciFinance for generating C/C++ cross asset pricing model calibration routines. Essentially a calibration framework, one simply specifies the pricing model you want to calibrate, select a pricing model for your underlying calibration instruments (use one of the provided analytical pricers, your own analytical pricer or a SciFinance generated PDE or SDE pricing model) and your calibration data sets (includes utilities for reading and preprocessing market data).
SciCalibrator does the rest by automating the programming task to produce fully documented C/C++ source code or a Microsoft Excel spreadsheet and add-in.
The SciCalibrator-generated source code may be integrated with a pricing model or used as a standalone calibration routine.
SciCalibrator comes with a broad range of calibration specifications including:
CB/Equity/FX/Commodity Calibration:
Energy Derivative Calibration:
Generic Short Rate Calibration:
LMM Calibration:
Credit Calibration:
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In addition to SciCalibrator, SciComp also offers ready-to-use, standalone calibration models available as Excel add-ins. These calibration models can be integrated with a pricing and risk model or used as a standalone calibration model.
SciFinance® automates pricing and risk model development
SciPDE™ and SciMC™ are the core SciFinance modules
SciGPU™ achieves blazing fast performance with CUDA and OpenMP
SciCalibrator™ provides pricing model calibration
SciIntegrator™ eases integration
Standalone customizable pricing and calibration tools.
Derivatives Pricing Models
A resource site with examples, documentation and more...
16 - 20 April 2012, Hotel Arts Barcelona
Software vendors and service providers ease GPU adoption
...this approach masks the complexity of parallel programming from the end user, leaving them free to define the characteristics of the pricing model that they want to run on GPUs.