SciFinance: Cross-platform C/C++/CUDA source code generator for derivatives pricing models
The ultimate flexible coding solution, SciFinance® is an automatic C/C++/CUDA source code generator for building derivatives pricing models in-house. Providing you full control over modeling decisions, SciFinance significantly reduces development time and costs.
Why use SciFinance?
- SciFinance has been developed over 15 years with the input and guidance of practitioners at top tier institutions worldwide.
- Unlike typical modeling systems, SciFinance is not a scripting language for assembling an inflexible set of library routines that offers imprecise or limited functionality.
- SciFinance provides cross asset support with hundreds of ready-to-use model specifications. All model specifications are completely customizable and composable.
- SciFinance supports the modeling of any PDE or Monte Carlo-based pricing model.
- Experiment with different solvers, finite difference schemes, or interpolation methods simply by changing a few lines in the specification.
- Eefficiently, economically and quickly develop your own pricing models at a fraction of the cost (in both time and money) of internal development approaches or via open source systems.
- SciFinance automatically generates CUDA-enabled or OpenMP compliant pricing model source code. No parallel computing or CUDA programming expertise is required.
How does SciFinance work?
- Select from hundreds of provided pricing model specifications
- Modify the model specification as needed
- Through the use of keywords
- Write any algorithm in a high level language
- Write any system of PDEs or SDEs (Monte Carlo)
- Make use of functions from your existing libraries
- SciFinance does the rest by automatically generating fully documented C/C++/CUDA pricing model source code or Excel spreadsheets and add-ins.
SciFinance provides cross-asset support
|Equity derivatives||Commodity derivatives|
|FX derivatives||Energy derivatives|
|Convertible bonds||Credit derivatives|
|Interest rate derivatives||Hybrid instruments|
|Cross currency structures|
SciFinance derivatives pricing and risk model development at a glance...
- ScFinance reduces development time and costs.
- SciFinance is not a toolkit, you make the modeling decisions.
- SciFinance offers complete model transparency and generates source code.
- SciFinance delivers cross asset support.
- SciFinance generates CUDA-enabled or Open MP pricing model source code.
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