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.net