SciComp Slashes Development Time with the GPU

Scicomp Accelerates Market Leading Derivative Pricing Software With NVIDIA CUDA

SciComp Slashes Development Time and Automates Acceleration of Pricing Models with the GPU

SANTA CLARA, CA-SEPTEMBER 16, 2008-Trading in over-the-counter financial derivatives is a high-risk, high-pressure venture. SciComp, an Austin, Texas-based company, has a high-tech derivatives software solution to shorten the development time and accelerate the performance of Monte Carlo pricing models. The company has enhanced SciFinance®, its flagship product, to deliver accurate NVIDIA® CUDA™-enabled derivatives pricing models that run up to 100 times faster than serial code. More significantly, this speed up can be achieved without any additional work or hand programming which, in a market where a slight delay or inaccuracy can end up costing millions, is a critical advance.

The key to this speedup is reliance on the graphics processing unit (GPU) for the calculations. A GPU is a many-core (up to 240 cores in the latest models) parallel processor that can run parallel applications many times faster than a computer's CPU. This massive parallel computational power is unlocked by NVIDIA CUDA architecture, a programming environment based on the industry-standard C language that enables developers to write software to solve complex computational problems in a fraction of the time.

"The old aphorism 'time is money' has never been more true than in the pressurized world of OTC derivatives trading, where the constant flow of new contracts demands the ability to produce complex mathematical pricing models rapidly," said Curt Randall, executive vice president of SciComp. "This process used to take days if not weeks of error prone hand coding, but with SciFinance, model developers make a few changes to a model specification of a half page or less and then generate accurate C or C++ source code pricing models in minutes."

Scicomp Accelerates Market Leading Derivative Pricing Software With NVIDIA CUDA

"SciFinance's new ability to generate GPU-enabled code without additional programming is game-changing technology for our customers," added Randall. "The code takes full advantage of the GPU's parallel architecture, delivering an immediate 20-100X execution speed increase. Pricing models that used to run in minutes now complete in seconds, allowing financial institutions to test alternatives models, increase scenario analysis, and better understand their potential risk exposure. And best of all, they need not become experts in parallel coding concepts. SciFinance takes care of that."

To take advantage of CUDA architecture, a bank's in-house development team need simply use SciFinance's high-level financial and mathematical language for describing the derivatives model. Adding the keyword "CUDA" to a model specification outputs CUDA-enabled source code which can run on any standard PC with a CUDA-enabled GPU.

Financial institutions such as banks and hedge funds engage in derivative transactions to help manage financial exposure and risks. Derivative contracts are financial instruments whose value is based upon fluctuations in an underlying variable (e.g., the value of a stock option depends on the volatility of the underlying stock). Pricing derivatives requires complex mathematical models, often requiring the running of millions of scenarios. Therefore, fast and accurate calculations are at a premium.

"SciComp is one of the first companies to fully embrace the potential that GPUs have in the field of computational finance," said Andy Keane, general manager of the GPU Computing business at NVIDIA. "The ability to not just deliver small and incremental increases in performance, but instead to deliver 100X and reduce weeks of hand coding to immediate, real-time results is incredibly powerful. We look forward to working closely with SciComp going forward to bring more defining improvements to the SciFinance generated pricing models and in turn their customers' businesses."

More information on SciComp and SciFinance can be found at and for additional information on CUDA architecture, visit


NVIDIA (Nasdaq: NVDA) is the world leader in visual computing technologies and the inventor of the GPU, a high-performance processor which generates breathtaking, interactive graphics on workstations, personal computers, game consoles, and mobile devices. NVIDIA serves the entertainment and consumer market with its GeForce graphics products, the professional design and visualization market with its Quadro® graphics products, and the high-performance computing market with its Tesla computing solutions products. NVIDIA is headquartered in Santa Clara, Calif. and has offices throughout Asia, Europe, and the Americas. For more information, visit

About SciComp Inc.

A recognized leader in derivatives pricing software, SciComp provides a financial compiler for generating C or C++ pricing source code from concise, high-level model specifications. SciComp's global customer base includes investment banks, money center banks, asset managers, insurance companies, hedge funds and service providers. Derivative instruments supported include equity derivatives, convertible bonds, cross currency/interest rate derivatives, energy derivatives, FX products, credit derivatives and cross asset structures. Visit or call 512-451-1050 for more information.

Last updated: Apr 7, 2020 at 11:57 am CDT

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