SciComp: Quantifying Choice

SciComp, the Austin, Texas based provider of scientific computing solutions to the financial markets, are no strangers to pioneering the development and advancement of technologies...The company has made a name for itself in software synthesis engines (software that writes software), high-level programming languanges, robust, state-of-the-art algorithms and the latest financial instruments, integration efficiency tools, and customzed, off-the-shelf models.

SciComp's philosophical approach to model development for the last 12 years has been to provide clients a set of flexible and robust tools that allow them to design and build pricing and risk models their way. This was first reflected in SciFinance, a cross-asset, in-house development environment for derivative instruments. Users create a high level specification by using keywords, defining arbitrary PDEs, PIDEs or SDEs, and specifying numerical algorithms. SciFinance does the rest by automating the programming task to produce fully documented C/C++ source code and Excel spreadsheets and add-ins, COMs, .NET solutions, or Java wrappers.

"We help our clients develop and implement innovative pricing and risk model strategies. Typical library-based approaches pose a high cost to innovation given that there are so many places in the code which require updating and modification. SciFinance users simply modify their specification to reflect any desired changes and a new pricing executable is created automatically. While SciFinance includes a few hundred model templates to facilitate development, at the end of the day the choices are the quant's to make and the SciFinance-produced code reflects those choice," says Curt Randall, Senior Vice President of the company."

This article appeared in Wilmott Magazine.