SciComp Inc.
Over the past year, SciComp extended the instrument coverage of its SciFinance automated pricing model generator to include, among others, cash collateralised debt obligations (CCDOs), CDO-squareds and credit-linked range accrual notes. A new generic short rate and hazard rate calibration module calibrates both the short and hazard rates (correlated), using models such as one-factor, Gaussian and extended exponential Vasichek.
SciSTCDO is a standalone pricing, risk and calibration engine for single-tranche CDOs, and provides both a broad, high-performance Monte Carlo simulation method that employs a factor copula approach for handling exotic variations, and a fast specialised semi-analytic approach.
This article appeared in Risk Magazine
Home
SciFinance® automates pricing and risk model development
SciPDE™ and SciMC™ are the core SciFinance modules
SciGPU™ achieves blazing fast performance with CUDA and OpenMP
SciCalibrator™ provides pricing model calibration
SciIntegrator™ eases integration
A resource site with examples, documentation and more...
Communicate
Watch the SciFinance Parallel Computing movie:
Webinar: Automatic GPU computing for derivative pricing models
NEWS
Reval Speeds Up Pricing Complex Instruments in the Cloud with SciFinance
"We were looking for a cost-effective and easy-to-deploy solution to improve the pricing of complex derivative instruments using PDEs or Monte Carlo simulation in our SaaS product. We found it with SciFinance and GPU-enabled models, without having to become experts in parallel coding or CUDA."
"...the only thing you need to add to get GPGPU acceleration is literally 'CUDA'; it's a single keyword, not a fundamentally different way to formulate the math equations. This allows SciComp's customers to save even more time while also improving accuracy."
Beyond 3D