The shortest way from your termsheet to high-speed simulation.

Payoff Definition Toolbox™ is a development environment allowing to easily translate a product termsheet to a ANSI C++ class source file compilable and linkable with an external Monte-Carlo simulation engine.

Features

Payoff Definition Toolbox™ combines a set of underlyings, calendar information and a payoff formula or algorithm to produce a piece of code directly pluggable into a Monte-Carlo simulation routine. Payoff Definition Toolbox™ aims at producing reusable payoff units by dealing independently with payoff formulae, dates and baskets.

Exotic Description Language

Payoff Definition Toolbox™ integrates a programming language to describe termsheets. The Exotic Description Language is designed to be quickly familiar to quantitative engineers with minimal effort. The Exotic Description Language is delivered with a syntax checker and a syntax-highlighting fully featured code editor.

Simulation safety

The Exotic Description Language guarantees a full memory safety without performance degradation. It is thus suitable even for non-experienced users interacting with a critical pricing application.

Calendar management

Generating dates in a programming language is always a tedious and error-prone task. Payoff Definition Toolbox™ integrates a GUI for constructing recurrent series of dates corresponding to termsheet's observations in just a few mouse clicks.

Debugging

Exotic Description Language lets the user integrate break-points and prints in the payoff description to monitor the simulation. In particular, the user can control rare events occuring in a Monte-Carlo simulation.

Predefined payoffs

Payoff Definition Toolbox™ comes with an extensive source code library of commonly used payoffs directly written in the Exotic Description Language. This fully documented library can be used directly or as a starting point to build more complex termsheets.

Benefits

• Suitable for users unfamiliar with programming
• User-friendly development environment
• Direct integration in external Monte-Carlo engines
• Optimized and memory-safe code generation
• Assisted graphical calendar manipulation