SciFinance: Cross-platform C/C++/CUDA source code generator for derivatives pricing models

SciFinance® is a modeling system for building derivative pricing and risk models. The ultimate in flexible derivatives pricing model development technology, SciFinance significantly reduces development time and cost.

Why use SciFinance?

• SciFinance is a flexible/extensible financial language/compiler, not a fixed library of rigid building blocks.
• SciFinance provides libraries of hundreds of model specifications for equities, FX, fixed income, commodities, structured products and credit. All model specifications are completely customizable and composable.
• SciFinance gives you full control over contract terms, particular instrument features, underlying dynamics, numerical routines, methodologies, and sensitivity measures.
• SciFinance supports the modeling of any financial derivative that can be valued using any system of partial differential equations (PDEs) or stochastic differential equation (SDEs, i.e., Monte Carlo).
• SciFinance automatically generates CUDA-enabled or OpenMP compliant pricing model source code. No parallel computing or CUDA programming expertise is required.

How do you use SciFinance?

• 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

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.
• SciFinance supports any PDE or PIDE using finite difference methods
• SciFinance supports any SDE using Monte Carlo
• SciFinance is easy to integrate with existing trading and risk systems.