The leading knowledge platform for the financial technology industry
The leading knowledge platform for the financial technology industry

A-Team Insight Blogs

SciComp Releases SciFinance Version 5.0 with Added Functionality for OTC Derivatives Pricing

Derivatives valuations software vendor SciComp has released a new version of its flagship SciFinance pricing software solution, which it claims will help quantitative developers shorten model development time and create models with faster execution speeds. Version 5.0 of the software has been altered to reflect the new market conditions and new OTC derivatives, says Curt Randall, executive vice president of the vendor.

“New 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,” claims Randall.

The current market requires expedited model development and faster execution speeds for derivatives pricing models, he explains. To account for this, SciFinance 5.0 features generation of parallel codes for Monte Carlo pricing models that run up to 30 to 200 times faster than serial code, according to the vendor. This acceleration is achieved by taking advantage of the highly parallel structure of high-end Nvidia graphical processing units (GPUs), adds Randall.

“Our customers can benefit immediately from SciFinance’s new ability to generate CUDA-enabled code. Without having to become experts in parallel coding, they can quickly create code that delivers up to 200X 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,” he elaborates.

The vendor will also be providing support for partial differential equation (PDE) models later this year with the addition of a more concise specification dialect in the form of SciXpress. This dialect shortens even the most complex pricing problems to a few dozen lines, claims the vendor.

SciFinance 5.0 also includes the ability to automatically create OpenMP parallel code for Monte Carlo pricing models. Nearly all modern desktop computers have multiple CPUs, usually from two to eight, while workstations may have many more. The synthesised 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.

Related content

WEBINAR

Recorded Webinar: A new way of collaborating with data

Digital transformation in the financial services sector has raised many questions around data, including the cost and volume of reference data required by each financial institution. Firms want to pick and choose the reference data they need to fulfil their requirements. Emerging solutions with the potential to decrease the cost of data and increase flexibility...

BLOG

FCA Publishes Further Plans to Ensure Orderly Wind Down of LIBOR at Year End

The UK Financial Conduct Authority (FCA) has released further arrangements for the orderly wind down of LIBOR at the end of the year. While the sterling, Japanese yen, Swiss franc and euro LIBOR panels will cease on 31 December 2021, the FCA says that to avoid disruption to legacy contracts referencing the 1-, 3- and...

EVENT

RegTech Summit Virtual

The RegTech Summit Virtual is a global online event that brings together an exceptional guest speaker line up of RegTech practitioners, regulators, start-ups and solution providers to collaborate and discuss innovative and effective approaches for building a better regulatory environment.

GUIDE

Alternative Trading Systems Directory 2010

The year since we launched our first edition of the A-Team Alternative Trading Directory has passed by in a flash (no pun intended). And while the rate of expansion of the alternative trading system sector may have slowed – even consolidated somewhat – in the more established centres, their onward march continues both in terms of credibility, and of uptake...