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.