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.

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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.

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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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