Fast Monte Carlo programming
SciComp, based in Austin, Texas, is planning to introduce a product that will automatically transform brief specifications for Monte Carlo simulations into executable source code. It uses the company software synthesis technology already available for automatically generating option pricing code and spreadsheet add-ins, and SciComp claims it turns out fast and efficient code in minutes. SciComp was awarded a patent on its technology in February.
SciMC can handle exotic path dependencies, exotic underlying processes including jumps, high dimensionality, deterministic sequences and early exercise of American-style and Bermudan options. Users own the code the product produces, which does not need run-time licenses. Using the company's ASPEN language, users can specify any number of stochastic differential equations that describe underlying processes, a payout discount and sensitivity functions.
Other features include the ability to specify discrete events such as dividends, a variety of pseudo-random number generators and the ability to call user-defined random number generators and distribution functions, including deterministic sequences, for performance improvements.
This article appeared in Risk Magazine.