FinDer Features

FinDer is a system using low discrepancy sequences for pricing of financial derivatives and risk management. Low discrepancy methods are frequently superior to Monte Carlo in terms of accuracy and speed. The software is written in ANSI C. Comprehensive documentation is provided. 

Even though FinDer was originally designed to run under UNIX it is portable. The code realizing the low discrepancy point generators compiles and runs on the PC under DOS (using gcc) and under Windows XP/Vista/Windows7 (using Microsoft Visual C/C++) without any changes. 

The software can run on a single computer sequentially, but also has distributed computing features, which rely on PVM 3.2 (not included with FinDer), and can run on a network of workstations.
 

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FinDer includes the following components:

1. A driver with sequential and with distributed computing features. This driver is used for (i) the selection of the financial instrument, (ii) the selection of the low discrepancy generator, (iii) the selection of various parameters related to the accuracy of the computation, and (iv) for combining the values of the financial instrument and obtaining the final result.

2. Low discrepancy point generators (Halton, Sobol, generalized Faure). The Halton generator is a standard implementation. The Sobol generator is significantly modified and extended to be able to generate points in any dimension up to and including 370. The quality of the Sobol generator is highly dependent on the initial direction numbers. FinDer incorporates a large number of refinements and corrections from other implementations. The generalized Faure generators are new, realizing three different constructions.

  • Original generalized Faure [Tezuka 1995]
  • New Faure [Faure & Tezuka 2000]
  • A combination of the above two

They can be used to generate points in any dimension and without any restriction. They also have significant refinements that improve the quality of the result.

3. A number of example test functions (including some simple options).

4. All the necessary makefiles (for the sequential version, for the distributed version, and for the creation of a library of point generators).

5. Documentation for the installation of the software, description of its functions and use, and detailed instructions for incorporating user supplied financial instruments and other point generators