HPCiD: High Performance Computing in Derivatives

HPCiD Introduction
D&I Technology Pte Ltd specializes in high performance engines for derivatives pricing. Our areas of expertise are parallel and high performance computing, highly optimized numerical methods. Our experts have implemented front office libraries for foreign exchange, interest rates and exotic stocks in global banks.
In addition, our experts have extensive experience in trading risk management. We are an Intel FPGA Partner Gold. Our FPGA solutions include acceleration of Monte Carlo-centric FX, interest rates, and other standard numerical calculations such as FX Delta will convert conventions, including price premiums, Black-Scholes volatility effects. We offer cloud-based as well as integrated solutions.
We partner with ICE to provide seamless integration of market data. For existing ICE customers, it reduces the total cost of the solution; for new customers, it reduces market data integration costs and saves testing time.
Additionally, our continuous R&D and collaboration with Intel enables our customers to use the most advanced technologies in their solutions.

Taking advantage of HPCiD's excellent parallel computing performance, D&I developed its own set of derivatives pricing models, adopted a client risk framework and model governance, and implemented them in Python, C++ or C#. How all pricing models work is fully transparent and easy to audit. Models covered by the D&I Model Library include but are not limited to:

Our model covered includes:
1. 1- and 2- factor Hull-White model;
2. Cross Currency Hull-White model;
3. Single currency and cross currency Libor Market Model;
4. Black-Scholes-Merton model;
5. Bachelier model;
6. Equity local volatility model, a.k.a Dupire model;
7. FX local volatility model;
8. Heston model;
9. SABR smile interpolation.
10. Deterministic hazard rate model.

Our product coverage includes:
1. All linear rates, fx products;
2. First generation FX and Equity products, e.g. barriers and touches;
3. Sophisticated interest rates exotics like Bermudan, Callable Range Accrual;
4. Popular in Asia FX structures like TARN variants, Accumulators, Pivots;
5. Popular equity structures like Accumulators, Basket options with memories.

We can adopt customer risk framework and model governance, and implement in Python, C++, or C#. Our work is fully transparent and easily auditable.






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