Cloud-based real-time sophisticated option pricing.

Flexible tiered subscription contracts.

Source code license for derivative pricing engine.

Seamless integration with proprietary in-house systems.

High performance and open derivative pricing API.

Multiple pricing algorithms and custom tunable modules.

Advanced and reliable implied volatility modeling.

Layered and modular pricing framework.

Open and easily extensible valuation models.

Real-time option pricing, Options Greeks, and implied volatility.

Multiple asset classes: Equity, Futures, FX, and Fixed-income.

Pricing for standard/custom spreads, exotic options, mobile/Web GUI.

Flexible tiered pay for usage subscription contracts.

Standard Post with Image

High Performance Derivative Pricing and Quantitative Portfolio Management Platform.

Pricing Engine - Product Features

Multi-layered, object-oriented architecture

Our platform is separated into independent and loosely coupled multiple layers: SaaS, Service Bus, Pricing API, Derivative Pricing modules, Business Domain, Name Server, Persistence and Market Data Access.

Asynchronous, message-driven concurrency model

Asynchronous messaging architecture together with modern C++ concurrency features are fully utilized to achieve highly scalable and performance critical framework.

Cross platform compatibility through modern C++ compliance

Our platform is cross platform compatible. It can be compiled with Visual C++ on Windows or GCC on Linux machines.

High scalability through built-in load balancer and multiple server instances

Our platform can be deployed as a single instance or multiple instances with our own load balancer.

Service interface at various levels

The client can access pricing service through REST web services, FIX or directly through the C++ pricing API. Any new interface (for example, SOAP) to our pricing services can be supported by merely developing functionalities unique to that interface.

Multiple-pricing models

Our pricing engine is included with multiple pricing models: closed form, lattice, Monte-Carlo, Heston, spot rate and Heath-Jarrow-Morton (HJM). All the pricing models are loosely coupled with domain and service layers through high level abstraction.

Multi-level volatility modeling

We support Stochastic, Gram Charlier, discrete piecewise term structure, implied volatility surface and statistical methods for modeling volatilities.

Advanced term structure fitting and interpolation functions

Our framework allows clients to construct term structure of interest rates or discounting factors from any valid set of cash flows present in a market. Our hierarchical term structure classes provide a variety of interpolation and curve smoothing algorithms.

Generic numerical models

Our numerical models such as Monte-Carlo are generic and can be constructed with any options payoff class that confirms to an abstract payoff interface. Also, our models can be used to price a wide variety of derivative instruments such as options with multiple underlying, options that are path dependent or options with early exercise feature without losing the previously stated generality.