Shorter model development time and faster execution with latest iteration

"New over-the-counter (OTC) contracts or new market conditions require new pricing models, and our customers must respond by producing models rapidly, but with the attention to detail required for accurate results. SciFinance was developed to replace days or weeks of error-prone hand coding and debugging; it automatically generates C or C++ pricing model source code in minutes," Curt Randall, executive vice president of SciComp said.

Major enhancements in SciFinance 5.0 include the automatic generation of parallel codes for Monte Carlo pricing models that run up to 30 to 200 times faster than serial code. Support for PDE codes is scheduled for release later this year. This acceleration is achieved by taking advantage of the highly parallel structure of high-end NVIDIA GPUs.

"Without having to become experts in parallel coding, customers can quickly create code that delivers up to 200 times execution speed increases. A single PC equipped with several relatively inexpensive NVIDIA GPU cards can replace many racks of blades with a single box, reducing physical footprint and energy consumption by large factors," Randall said.

SciFinance 5.0 includes the ability to automatically create OpenMP parallel code for Monte Carlo pricing models. The synthesized parallel code is compliant with the OpenMP standard and with existing Windows and Unix compilers. It executes in the multi-processor environment with nearly linear speed-up--for example, a factor of 3.9X on a quad-core PC or 22X on a 24 CPU workstation.

SciFinance 5.0 also includes a new, concise SciXpress dialect for PDE specifications, which shortens the most complex pricing problems to a few dozen lines. Many numerical parameters and algorithm choices, for instance. defining difference grids, solvers, and so on, can be defaulted to SciFinance's expert system or, if preferrd, remain exposed for complete user control. SciFinance 5.0 includes the new SciXpress Catalog containing new concise example specifications across all asset classes.

This article appeared in Wilmott Magazine.