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..

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