Multi-Asset Derivatives Desk at the Speed of Native C++
Institutional quantitative infrastructure supporting vanilla and path-dependent exotics. Execute real-time book revaluations, live P&L explanations, and automated sensitivity Greeks powered by a multi-threaded dispatch kernel.
High-Performance Pricing Engines
Black-Scholes Analytical Engine
black_scholes
Closed-form analytic lognormal valuation with instantaneous closed-form Greeks (Delta, Gamma, Vega, Theta, Rho).
Monte Carlo Simulation Engine
monte_carlo
Native C++ multi-threaded Brownian paths with antithetic variance reduction. Built for path-dependent exotic structures.
Crank-Nicolson PDE Solver
crank_nicolson
Unconditionally stable implicit scheme solving second-order parabolic partial differential equations along spot and time discretizations.
Binomial Tree Engine (CRR)
binomial_tree
Cox-Ross-Rubinstein backward induction discrete lattice supporting early-exercise boundaries and American/Bermudan option structures.
Multi-Asset Trade & Risk Blotter
Asset Class Coverage
Track cross-asset books covering Equity (AAPL, SPY), Commodity (CL=F, GC=F), FX (GBP/USD, EUR/USD), and Rates (^FVX, ^TNX) in unified blotter legs.
Book Revaluation & P&L Explain
One-click portfolio revaluations, historical attribution decomposition, and real-time stress testing against spot shocks, rate jumps, and volatility surface shifts.
Market Environment Inspector
Direct inspection into term-structure parameters: dynamic discount curves, term volatility surface interpolation, and live tick calibrations via YFinance feeds.
Live Engine Performance Profile
Need Custom Engines or Model Integration?
For quant research inquiries, C++ kernel extension requests, or platform support, reach out to our quantitative engineering team directly.