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Fixed Income
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FiSC has solutions available for both market risk (e.g. duration, convexity, the "greeks", key rate durations, scenario analysis, and the like), stdfin, and default risk (modeling counterparty liquidity under varying market conditions), stdsim. The latter employs a general stochastic process scenario-sampling approach, which can be based on pumping random walk noise into your own econometric model for scenarios and consequences, or defaulted to the degenerate (i.e. minimally informed) simple Monte Carlo method.
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Custom objects and methods for both can be readily implemented. If you have a white paper or other documentation unambiguously describing it, it can be implemented, either by you or by us, and, either released as part of stdfin/stdsim to promote your product or methodology, or kept proprietary and under nondisclosure, in possession of you alone. Utmost discretion is assured.
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Our libraries are thread-safe and can support distributed processing, subject to the computational needs of your methods. They, and we, are friendly with most IT platform elements, including SQL Server and/or Oracle, Linux/Unix and/or Windows platforms, service oriented architecture and/or event-driven trading infrastructure, decision support functions and/or financial reporting systems. They are also free of charge, costly only insofar as you direct your staff to assess their usefulness.
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