ABN Amro has licensed SciFinance and SciXL software products from automated derivatives pricing technology vendor, SciComp.
The bank will use codes generated by SciFinance to rapidly prototype equity derivative instruments. SciFinance generates custom code from concise specifications of derivative structures without manual programming. The SciXL option automatically transposes pricing models into Microsoft Excel spreadsheets.
SciComp claims the software decreases the turnaround time for derivative model prototyping and allows analysts to easily explore and refine new algorithms and complex options.
Andrew Greaves, managing director at ABN Amro, says: "We will use SciXL to run models in Excel without extra programming steps. Together, SciFinance and SciXL will reduce the time and cost involved with new model development."