AUSTIN, Texas, May 10 /PRNewswire/ -- SciComp Inc. today announced the release of SciMC(TM), software for automatically transforming brief specifications into executable C code for Monte Carlo derivative models. SciMC combines SciComp's intelligent software synthesis technology with efficient Monte Carlo techniques to automatically generate C code without manual programming. SciMC provides extremely fast and flexible Monte Carlo simulation codes, reducing programming and modeling time for derivative model development.
``SciMC is a powerful addition to the SciFinance® suite of products,'' said Elaine Kant, president of SciComp. ``We are confident that it will satisfy our customers' needs to quickly produce robust, customized Monte Carlo codes. We've found that the codes can run up to 100 times faster than other simulations and solve problems that are beyond library codes and general Monte Carlo engines,'' Kant added.
SciMC handles sophisticated mathematical and financial features including exotic path dependencies, jumps, high dimensionality, deterministic sequences, choice of variance reduction techniques, and American or Bermudan exercise. Using SciComp's ASPEN high-level specification language, users can define any number of stochastic differential equations that describe the underlying processes, a payout discount, sensitivity functions and (optionally) algorithm choices. Using ASPEN's macro feature and expressive payoff language, quantitative analysts can package these sophisticated features into easily accessible form for traders and marketers. Other SciMC features include the ability to specify discrete events such as dividends and barrier monitoring, a variety of pseudo-random number generators, and distribution functions, including deterministic sequences for performance improvements.
SciMC is the latest addition to the SciFinance software suite that also includes SciPDE(TM) and SciXL(TM). SciFinance's patented methodology provides pricing without programming. SciMC can be licensed separately, or combined with SciPDE and/or SciXL. SciPDE uses efficient finite difference algorithms to generate derivatives pricing codes. Together, SciMC and SciPDE can be used to price a wide variety of options, and the results can be easily cross-checked. Users can add the SciXL module to generate codes as spreadsheet add-ins and immediately experiment with their models in Microsoft® Excel. SciFinance-generated codes are not black-box executables -- users own them and there are no run-time licenses.
About SciComp Inc.
As the recognized leader in software synthesis, SciComp provides automated pricing technology to the financial services industry. SciComp's products are used by some of the world's largest investment banks to decrease the turnaround time for derivative model development. Visit http://www.scicomp.com or call 512-451-1050 for more information.