What We do
Our current focus is in the field of linear-rates and structured-credit. Our world consists of yield curves, swaps, bonds and credit instruments. We also have experience in the field of exotic derivatives and equity volatility surfaces.
Solvers, minimisers, calibration, integration, finite-difference grids, partial differential equations, Monte-Carlo techniques, principal component analysis, adjoint algorithmic differentiation (AAD), machine learning techniques.
build what is needed
We specialize in fast, accurate development of analytics libraries. We build what is needed right now, with an extensible design for the future. Our focus is on clear, maintainable code which is fully tested.
Our core proficiency is in C++ and Python, with support for APIs in C# and Java. We are equally comfortable in a Windows or Linux environment.
Accelerate your team
Build-automation and parallel testing across all platforms ensures that developers get feedback on code correctness within minutes.
Automated deployment allows new functionality to be rolled out to production at the click of a button.
We believe testing should be fast and fun. Therefore unit and regression tests are performed simultaneously for Win32, Win64, and Linux using all available CPU cores. GUI tools allow quick and deep analysis of failing tests.
Performance analysis using Intel vTune Amplifier. Automatic leak checking of unit tests ensures maximum reliability and confidence.