New and Improved
For its SciFinance automated pricing and risk model generator, the company introduced SciCalibrator, which allows users to specify calibration problems at a high level and then generate the corresponding source code in C or C++. Version 2.0 of the SciSTCDO pricing and risk engine for single-tranche collateralised debt obligations includes a large pool Gaussian copula model, additional calibration functionality and sensitivity to changes in interest rates and correlation. SciFinance 4.0 C++ code includes the ability to use C++ exceptions to signal errors in place of return codes, making the code more intuitive..
This article appeared in Risk Magazine