SciFinance: A Program Synthesis Tool for Financial Modeling

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

Abstract

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.
Published
2001-06-15
Section
Articles