It focuses rather
on the implementation
of numerical analysis techn-
iques available to compute
the quantities of interest
than on the financial context.
It is an attempt to keep track
of the most recent advances
in the field from a numerical
point of view in a well-
documented manner.
The ultimate aim would be
to assist the R&D professional teams in their day-to-day duty.
It may also be useful
for academics who wish
to perform tests of a new algorithm or pricing method without starting from scratch. Forsys Quantum™is not either
a powerful object-oriented
system designed to handle
any kind of derivative products
and portfolios of such derivative products. Although this is a very
interesting challenge, especially in the setting of non- linear pricing, it would require a heavy formalism which is not in the spirit of Forsys Quantum™. We focus on the numerical analysis oddities. Other oddities in the direction of complex systems and formal tools applied to the pricing of derivative products are very interesting to study- but not here. Forsys Quantum™is a set of highly optimized routines for this or that platform where basic operations are re- programmed the best way for a purpose or an- other. This optimization stage with the use of a low-level library module like NAG's has been performed at our level. High-level algorithms are tackled in Forsys Algorithms™.
Forsys Quantum™
Forsys Quantum™ software provides C routines for the pricing of financial derivative products altogether with a scientific documentation..
