Pricing, Scenario Analysis, curve fitting, VaR, XVA and EPE can be supercharged by MatLogica's software - enabling significantly faster processing of business-critical tasks.
Our optimising layer simplifies model development with no sacrifice of precision. Second and higher-order greeks, including cross-gamma, can be efficiently calculated using bump-and-revalue of the first-order AAD greeks.
Speed up Repetitive Calculations
When performing Monte-Carlo simulations, "what-if" scenarios, stress-testing, back-testing, or historical VaR, MatLogica’s kernels will automatically execute 8 (or 16) samples of the optimized code in one CPU cycle.
Sensitivities and XVA
Our AAD solution has been tested for large-scale applications calculating sensitivities, including close to real-time full portfolio simulations for XVA pricing and risk (under FRTB).
You can define your scripting language and compile it with MatLogica, getting the best of both worlds: runtime flexibility and better than native performance!
Secure and confidential - MatLogica kernels can be executed in the cloud, whilst keeping your proprietary code and sensitive data on premises.
You can calibrate complex multi-asset models with Monte-Carlo and use tick-level data to perform close to realtime pricing and risk calculations.
Wide Range of Models
MatLogica supports a wide range of modeling techniques including American Monte-Carlo, path-wise Monte-Carlo, PDE calculations, etc.