Experts in Chebyshev methods

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BenefitsChebyshev Spectral Decomposition

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What would you do if your pricers could run 1,930 times faster?

Imagine…

Chebyshev Spectral Decomposition creates innovative methods that increase the performance of existing Monte Carlo simulations by several orders of magnitude. Existing tests have achieved an acceleration of between 5 and 10,000+ times. It is very easy to implement in an existing risk engine.

The method

  1. Creates a new unparalleled edge to the speed of the calculation
  2. Decreases the noise of the risk simulation
  3. Provides a very high control on the numerical error of the simulation

… and all this by several orders of magnitude.

HOW IT WORKS

Monte Carlo simulations are often computationally demanding and slow. In fact, the financial industry has assumed that this is inevitable, typically because they need to call slow pricing functions thousands or millions of times.

Imagine that we can build a representation of each slow pricing function that is both

  1. Accurate – A quasi-exact representation of the original function
  2. Ultra-fast – Can be computed in sub-milliseconds, regardless of how slow the original function was

That is what Chebyshev methods deliver for you.

THE BENEFITS

Monte Carlo simulations that used to take hours and days can now be computed in minutes with the intelligence that lies within MoCaX. The pricing and numerical error in them can now be improved by several orders of magnitude.

  • Risk numbers that were impossible to measure before can now be computed
  • Metrics that could take hours now take only minutes
  • Noisy and error-bound calculations can now be computed with high precision

As a result, all business processes that are based in Monte Carlo calculations feel its benefit significantly.

TRY MOCAX

Do you want to see all this with your own eyes? We invite you to try MoCaX, our freely available software, so you can experience it yourself.

All our Chebyshev functionality is delivered in a software library, in Python or C++. Available Windows and Linux.

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