Scripted Trade Framework

Our most recent release contains an innovative Scripted Trade framework from Open Risk Engine inspired by leading-edge risk quants like Jesper Andreasen and Antoine Savine. 

It is equivalent to next generation, large-scale sell-side pricing engines evolved from early iterations in the late 1990s (e.g. Emmanuel Derman at Goldman Sachs, SynTech at Gen Re, GRFN at BNP Paribas, OptIt at Societe Generale) to more advanced recent implementations at the likes of Bank of America, Nordea, Danske Bank, and Saxo Bank. Other large banks like J.P. Morgan, UBS, Commerzbank, and Citi have all explored similar scripted trade implementations to solve for increasing cost and regulatory pressures on model performance, documentation, and validation. 

Our Scripted Trade framework allows users to author a custom script that describes the payoff of even the most  complex financial instruments, and value the trade under a common Monte Carlo simulation framework. The model can be parameterised under a multivariate Black Scholes or Gaussian process, and contains support for high-performance computing enhancements via parallelisation, multi-threading, and Automatic Adjoint Differentiation. 

For many firms, the alternative valuation methodology provided by the Scripted Trade framework allows for a relevant independent benchmark in the validation lifecycle, while for other firms it may allow for business extensions into the exotics space with lighter development and validation requirements for a single model framework, as opposed to the development and support of multiple exotic pricing models.