SciFinance: A Program Synthesis Tool for Financial Modeling

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


The SciFinance software synthesis system, licensed to major investment banks, automates programming for financial risk-management activities -- from algorithms research to production pricing to risk control. SciFinance's high-level, extensible specification language, aspen, lets quantitative analysts generate code from concise model descriptions written in application-specific and mathematical terminology; typically, a page or less produces thousands of lines of c. aspen's abstractions help analysts focus on their primary tasks -- model description, validation, and analysis -- rather than on programming details. Compared with manual programming, automation produces codes that are more sophisticated, accurate, and consistent. Analysts develop models within a day that previously took weeks or were not even attempted. SciFinance extends a system that generates scientific computing codes in a variety of target languages. The implementation integrates an object-oriented knowledge base, refinement and optimization rules, computer algebra, and a planning system. The shared knowledge base is used by the specification checker, synthesis system, and information portal.

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