Finance

Taking derivatives pricing to the next level


SciFinance is an environment that speeds up the development of pricing models for derivatives. Its unique technique reduces the time to market for new financial products. It lowers costs and risks.

Based on a domain oriented specification language SciFinance generates pricing routines for financial instruments in minutes while incorporating state of the art numerical techniques. Its openness, flexibility and transparency is ideally suited to support the new product approval process within your organization.

The unpreceded development speed your financial engineers gain with SciFinance allows you to formulate and test alternative pricing model and implementation strategies. The use of SciFinance therefore reduces model risk.

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SciFinance - an intelligent system


SciFinance is a cutting-edge artificial intelligence system which takes a pricing model and an instrument description as input and generates readable C or C++ source code which is completely self contained and ready to run as output. It allows you to take advantage of your existing financial libraries and in-house developments.

It is flexible. SciFinance is not a library of pre-canned financial products, on which you try to map the products of your organization. It is a system which gives you the extra freedom to really use the financial model you need to price the products you have.

Its developers are well known numerical and financial specialists. When using SciFinance you use leading edge numerical methods. It is complete because it also supports parameter estimation/calibration.

SciFinance comes with hundreds of example products/financial models and new products and models are added continuously. For many customers these examples are already sufficient to cover their needs. Others use these as a jumping off point to build models customized to their needs.

Benefits of SciFinance


The benefits of using the SciFinance software synthesize technology include:
  • Not a black box solution. You get the complete self containing source code.
  • Support for a broad range of asset classes.
  • Cost effective solution
  •     o  Reduced development time, costs and risk.
        o  Rapid prototyping of several financial models.
        o  Solutions customized to your particular needs.
        o  Reduced time to market.
  • Ideal solution for both trading and risk management.
  • Robust development environment.
  • Ability to implement more sophisticated and accurate models.
  • Easy to integrate with your existing trading and risk systems.

Integration


SciFinance produces stand alone executables or Excel spreadsheets and add-ins for rapid testing and pricing. Alternatively the system can create pricing routines wrapped in .Net, COM or Java that integrate easily in your trading systems.

Examples of Financial Instruments


SciFinance can be used to develop pricing models for credit derivatives, equity derivatives, interest rate derivatives, convertible bonds, foreign exchange, cross currency, energy derivatives, emerging market products and hybrid instruments. Features such as early exercise, forward starts and Asian tails, volatility surfaces, stochastic volatility, and jump diffusions are among those easily handled.

Partial list of examples that come with SciFinance


Vanilla Options
  • American/European/Bermudan exercise

Correlation Options
(unlimited number of assets)
  • dual-strike options
  • best-of/worst-of n assets and cash options
  • exchange options
  • rainbow options
  • spread options
  • spread over the rainbows
  • outperformance options
  • product options
  • quotient options

Compound Options
Digital Options
  • cash-or-nothing options
  • asset-or-nothing options
  • multi-asset digital options
  • American/Bermudan exercise features

Power Options
Volatility Options
  • volatility swaps/options
  • variance swaps/options

American/Bermudan Options
Asian Options
  • average price Asian option
  • average strike Asian option
  • barrier (knock-in/knock-out), forward-start, capped, weighted, windowed sampling
  • double average rate options (DARO)

Foreign Equity/FX Options
  • equity-linked FX options
  • foreign equity options
  • quantos
  • foreign domestic options
  • cancelable equity swaps

Lookback Options
  • floating strike lookback options
  • fixed strike lookback options
  • partial lookback options
  • digital-lookback options
  • American/Bermudan exercise features

Basket Options
(unlimited number of assets)
  • weighted/capped/floored/sums basket
  • ordered sums basket, e.g., sum of best 6 of 10
  • baskets with attrition, e.g., Himalayan features
  • knock-in and knock-out baskets
  • Asian baskets
  • American/Bermudan exercise

Barrier Options
  • discretely sampled barriers w/wo continuity correction
  • multiple, time-dependent barriers
  • deferrable/non-deferrable/conditional rebates
  • outside barrier options
  • "soft barrier options", fade-in/fade-out barrier options, [item]Parisian options, Parasian options

Cliquet Options
  • sums, products of floored/capped returns, average returns, etc.
  • resetting number of shares
  • resetting volatility surfaces

Contingent Premium Options
  • pay-later options, money-back-options, reverse CPO options
  • path-dependent contingent premium options

Credit Derivatives
  • structural, reduced form, and hybrid models of default
  • defaultable bonds
  • credit default swaps
  • counterparty risk
  • exchange options
  • options on defaultable bonds
  • credit spread options
  • nth to default options
  • CDO's + CSO's

Fixed Income Instruments
  • LIBOR market models, any number of factors
  • volatility smiles, stochastic volatility
  • forward caps, forward autocaps, forward barrier caps, European and American swaptions, barrier swaps, etc.

Other options too numerous to mention

Get started today


Test SciFinance for one month-our consultants will show you to quickly get started with SciFinance and how to translate a term sheet into an ASPEN specification.

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