A Commercial Program Synthesis System for Computational Finance

Elaine Kant

Program synthesis is the underlying technology for Sci- Comp’s SciFinance suite of products for the financial risk management market. SciFinance automates the generation of mathematical modeling codes that price derivative products, and inveslment banks use it for research pricing, production pricing, and risk control. The extensible Algorithm SPEcification Notation (ASPEN) combines application-specific constructions, mathematical expressions (focusing on systems of partial differential equations and stochastic differential equations), and optional algorithm design recommendations. The generated C code is approximately 50-100 times the length of the specification. SciFinance is a knowledge-intensive system that integrates object representations with refinement and optimization rules, planning, and symbolic computer algebra. Its object representations include abstract templates for stateof- the-art numerical algorithms, and its rules incorporate equations of any dimensionality and conditional expressions into the algorithms to produce highly optimized code with data structures customized to the specific mathematics of the specification. The financial system is layered on a generic system for generating scientific computing codes in target languages such as C, Fortran, or Fortrang0. A commercial product since 1999, SciFinance has been licensed to major US and European investment banks (e.g., Merrill Lynch, Bank of America, ABN AMRO). Their quantitative analysts, who would otherwise write the programs manually or combine existing components, can instead focus instead on financial model analysis, description, and validation. The analysts generally know nothing about Sci- Finance’s underlying technology and treat it as a superintelligent compiler that helps them produce in days codes that previously took weeks or were not attempted.

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