Pricing FX Derivatives

One size does not fit all. SciComp offers two types of solutions for pricing FX derivatives:

  • The ultimate flexible coding solution, SciFinance® is a 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.
  • Our expert quantitative development staff at SciComp Consulting can develop a wide variety of standard or custom derivatives pricing models, calibration routines and risk management tools that are tailored to your requirements.

 

pricing FX derivatives

FX derivative features

Pricing models for FX derivatives*

  • Local volatility models (LV)
  • Stochastic volatility models (SV), including asset (SVJ) and variance jumps (SVJJ)
  • Local stochastic volatility models (LSV)
  • SABR, Levy models, including stochastic time change, VG, CGMY, CGMYSA, etc.  
  • Custom user defined models

FX pricing model calibration

Calibrators are available for equity derivative pricing models.

FX derivative model classes*

  • Digitals
  • Asian and Lookbacks
  • Barriers
  • Range Accruals
  • Forward Starting Features
  • Multiple Assets
  • Complex Equity-Linked Notes
  • Volatility and Variance options

*partial, representative list

Get more information on FX derivatives pricing models. Contact us >>

 

SciComp solution benefits for FX derivatives

SciFinance®

  • No-hand coding, no-black boxes: Generates source code from concise, high-level model specifications. Not an inflexible set of library routines that offers imprecise or limited functionality.
  • Comprehensive: Cross-asset support with hundreds of model specifications, easily modified through keywords.
  • Latest techniques without the learning curve: Automatically generates GPU-enabled pricing model source code. No parallel computing or CUDA programming expertise is required.
  • Customer-driven: Developed with the input of practitioners at top-tier financial institutions worldwide.

SciComp Consulting

  • Expertise: Our expert quant/developer staff has years of derivatives experience, developing pricing models for financial institutions around the globe.
  • Ready-to-use or customized derivatives solutions: Comprehensive selection of ready-to-use pricing models and calibrators, any of which can be customized to meet your exact needs.
  • Comprehensive derivatives model development:
    • Design
    • Implementation
    • Testing
  • Performance enhanced pricing models: GPU-enabled or OpenMP-compliant derivatives pricing models.