Providing intelligent solutions.

Providing intelligent solutions.


GPU accelerated state of the art derivative pricing algorithms

InCube | PRICER at a glance:


  • GPU accelerated Monte Carlo and PDE pricing methods
  • Broad product coverage from vanilla products to first generation exotics and complex basket products
  • Refined methods to achieve stable Greeks for auto-callable and trigger products
  • GPU accelerated local volatility calibration
  • Innovative library design based on market and product perturbations
  • Built-in facilities to perform scenario analysis, stress testing and risk analysis
  • Testing and validation framework
  • Developed with functional first concepts in F# to improve robustness and reliability
  • Seamless integration in InCube|GRID
  • Multiple language bindings, including C/C++, Java, C#, Python, Ruby




Your benefits:

  • Significantly speed up your derivative pricing with GPU acceleration
  • Obtain stable Greeks for efficient hedging
  • Reduce time to market and project risk to build or extend your proprietary quant library
  • Access to state of the art derivative pricing algorithms using PDEs or Monte Carlo simulation
  • Scale your pricing capabilities as business grows with smart grid solution
  • Easily integrate other legacy pricing libraries in a solid pricing library architecture