SciFinance: The Advantage for Developing Derivatives Pricing Models

Not a Library or Toolkit

Two common commercially available technologies for creating derivatives pricing models are pre-built, ready-to-use pricing models and toolkit solutions. SciFinance is neither.

Ready-to-Use Pricing Models

Ready-to-use pricing models accept only pre-defined model-input parameters, require market data in a specific format, and produce only pre-defined outputs. Ready-to-use pricing models are inflexible, black box solutions which are limited by vendor modeling choices and know-how.

Toolkit Solutions

Toolkit solutions view a pricing model as a construction from basic building blocks. The building blocks are static, black box components that encapsulate particular functionality, such as a notional object or rate object. End users assemble these building blocks via a scripting language. While users have the ability to assemble the building blocks, they can not see inside the building blocks to understand how they work.

Another significant drawback is limited functionality. Toolkits come with vendor, pre-implemented, underlying pricing models (for example, a 1-factor Hull-White model). Often this may limit users to an underlying pricing model known to be suboptimal for a given type of structure. Similarly, when modeling a particular instrument feature that is not supported by the building blocks, users often need to ignore troublesome model features or request a vendor enhancement.

The SciFinance Difference

SciFinance takes a unique derivatives modeling approach relative to these limited commercial alternatives. Using an intuitive, very high-level programming language (VHLL) for describing financial contracts and numerical methods, SciFinance provides a friendly environment in which to make modeling decisions. Drill down as far as you wish or let SciFinance decide using its built-in knowledge base. SciFinance eliminates programming by automatically translating model specifications into fully documented source code in minutes. Automatically genererated wrappers (.Net, COM, Java, Python, or Excel) make integration easy.

 

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