SciFinance: A Program Synthesis Tool for Financial Modeling

Robert L. Akers, Ion Bica, Elaine Kant, Curt Randall, and Robert L. Young, SciComp Inc.

The SciFinance software synthesis system automates the programming task for financial risk management activities ranging from algorithms research to production pricing to risk control. Introduced commercially in late 1998, the system is currently licensed to a number of major investment banks. SciFinance’s high-level, extensible specification language, ASPEN, enables quantitative analysts to generate code from concise model descriptions that are written in application-specific and mathematical terminology. From these specifications, typically one page or less, the system will produce a C program thousands of lines long. The specification language’s abstractions help analysts focus on their primary tasks---model description, validation, and analysis---rather than on programming details. Compared with manual programming, automating the programming produces codes that are more sophisticated, accurate, and consistent. Analysts can develop modeling codes within a day that previously took weeks or were not even attempted. SciFinance is an extension to a system that generates scientific computing codes in a variety of target languages including Fortran and C. The implementation integrates an object-oriented knowledge base, refinement and optimization rules, computer algebra, and a planning system. The same knowledge base is used by the specification checking, synthesis, and information portal subsystems.

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