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
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Software vendors and service providers ease GPU adoption
...this approach masks the complexity of parallel programming from the end user, leaving them free to define the characteristics of the pricing model that they want to run on GPUs.