"SciFinance is truly a complete derivatives pricing model development solution, with support for all asset classes, calibration, Monte Carlo and PDE techniques, cutting-edge algorithm choices easily accessible by keyword, and easy integration." said Curt Randall, Executive Vice President, SciComp, Inc.
New credit derivatives expansion
The SciFinance 4.0 credit module, SciFinance for Credit, includes comprehensive support for collateralized debt obligations (CDOs), single tranches CDOs (STCDOs), credit linked notes (CLNs), CDO-squareds, cash CDOs, collateralized loan obligations (CLOs), synthetic CDOs, credit default swaps, defaultable bonds and single-name instruments. Users can structure credit instruments in limitless ways using a wide variety of numerical methods, customize models of default and interest rate and apply calibration routines.
New derivatives pricing model calibration
SciFinance 4.0 adds calibration functionality to meet the growing need to calibrate derivatives pricing models to market data. The SciCalibrator component translates calibration specifications into model calibration routines written in the C/C++ programming languages.
SciCalibrator provides calibration routines for equity/FX/commodity models including many parameterized local volatility, stochastic volatility (with and without jumps), and pure jump models; generic short rate models (including popular Gaussian and lognormal flavors) with interest rate and/or hazard rate calibration to volatility term structure of cap/swaptions and CDS spreads or corporate bonds; and LIBOR market model calibration, including exact fit to caps and least square fit to swaptions. Several parameterizations of the correlation matrix are available as well as several approaches for including volatility skew. Many models accommodate time dependent parameters, either exactly through numerical models of the calibration instruments or through very fast approximate analytic techniques. Available optimization techniques include a robust Levenberg-Marquart algorithm and simulated annealing. Calibrations may be synthesized for user supplied models as well as provided ones. SciCalibrator also includes utilities for reading and preprocessing market data.
New automatic generation of C++ source code
SciFinance 4.0 includes automated C++ source code generation capability. Basic C++ functionality minimizes impact on execution efficiency and facilitates integration with users' existing systems.
"This new functionality makes it much easier to integrate SciFinance code with existing C++ code." said Bruce Belson, Managing Director of Planatech Solutions, developer of the C++ component. "The C++ interface offers simple, finely tuned array classes which can be easily populated with user code. The array classes avoid any unnecessary copying of data, so that we can offer a simpler interface to C++ programmers without sacrificing performance. The use of C++ exceptions to signal errors, in place of return codes, also makes the code more natural and intuitive to C++ programmers."