SciFinance: The Advantage for Derivatives Pricing Model Development
Infinitely customizable derivatives pricing models
SciFinance® is ground-breaking software for building derivative pricing models. Using an intuitive very high-level programming language (VHLL) for describing financial contracts and numerical methods, SciFinance eliminates programming by automatically translating model specifications into fully documented C-family source code in minutes. Automatically-produced wrappers, in .NET, COM, Java, Python, or Excel, make integration easy.
SciFinance gives you the ability to infinitely customize pricing models. There are no limitations when defining terms and conditions of the contract, underlying model dynamics, numerical methods, market data and its format, or pricing and hedging outputs.
Despite this power, SciFinance provides customers an intuitive and user friendly environment in which to make modeling decisions. Drill down as far as you wish or let SciFinance decide using its extensive knowledge base.
Capture unique instrument features and model dynamics
SciFinance provides unrestricted ability to accurately describe features of derivatives contracts. Unlike typical modeling systems, SciFinance is not a library or scripting language that restricts you to choosing from a fixed set of prefabricated components offering imprecise or limited functionality.
Rather, SciFinance uses keywords and formulas to describe unique contract features such as conditional pay-offs, floating leg reset formulas, or numerical features such as boundary conditions or constraints. Discrete events such as range accrual, path sampling, and Bermudan exercise are simply defined.
SciFinance contains hundreds of customizable, industry-proven examples describing a broad range of derivatives model features. These examples serve as references and starting points for exploring the limitless space of derivative pricing codes that can be created. All model specifications are completely customizable and composable.
Use industry-standard or custom pricing models
SciFinance supports the modeling of any financial derivative that can be valued using systems of Partial Differential Equations (PDEs) or Stochastic Differential Equations (SDEs). Industry-standard derivative pricing models supported by the supplied examples include:
- Credit Models
- Single and multi-factor short rate models
- Reduced form approaches
- Local volatility models (LV)
- Structural/Firm value approaches
- Stochastic volatility models (SV), including asset (SVJ) and variance jumps (SVJJ)
- Multi factor models
- Stochastic local volatility models (SLV)
- Implicit joint dependence
- SABR, Levy models, including stochastic time change, VG, CGMY, CGMYSA, etc.
- Copulae in Monte Carlo
- Semi-analytic method of Andersen, Sidenius and Basu
- Gabillion, Gabillion with volatility smiles
- Large Pool Base Correlation
- Log-normal forward model with term structure of volatility
- Stochastic recovery models (MC and semi-analytic)
All asset class support
SciFinance's flexible modeling architecture provides support for all asset classes, including but not limited to:
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