For Quant Leads, Heads of Trading Tech, and Risk Quants
Quant pricing and scenario engines, generated from your Excel models.
Promote the pricing curves, option pricers, scenario engines, and structured-product valuation models your quant team builds in Excel into deterministic, low-latency services. Same calculations, same outputs, but callable from your trading stack and observable in production.
Pricing models can't keep living in spreadsheets.
- Your pricing workbook is also your runbook, your audit trail, and your single point of failure.
- Trading platforms want a deterministic API; your model lives in a tab no one else can read.
- Rebuilding the pricer in-house takes a year and still parts ways with the workbook on the third move of vol surface.
Your model in Excel. Your service in production. From the same file.
Your model in Excel
Generated code, in seconds
use std::error::Error;
#[derive(Debug, Clone)]
pub struct OptionPricingInput {
pub spot: f64,
pub strike: f64,
pub time_to_maturity: f64,
pub risk_free_rate: f64,
pub volatility: f64,
}
#[derive(Debug, Clone)]
pub struct OptionPricingOutput {
pub call_price: f64,
pub d1: f64,
pub d2: f64,
}
fn main() -> Result<(), Box<dyn Error + Send + Sync>> {
let input = OptionPricingInput {
spot: 100.0,
strike: 105.0,
time_to_maturity: 0.5,
risk_free_rate: 0.04,
volatility: 0.2,
};
let output = codcel_option_pricing(&input)?;
println!("call_price: {}", output.call_price);
println!("d1: {}", output.d1);
println!("d2: {}", output.d2);
Ok(())
}Every factor table, every lookup, every formula — translated into type-safe code your IT team reviews, tests against your current outputs, and deploys behind your existing API gateway.
What you can ship in days, not months.
Pricing curves
Yield-curve construction, discount-factor and forward-rate services — generated from the workbook the desk already trusts, formula for formula.
Scenario & Monte Carlo
Scenario engines and Monte Carlo calculations for VaR, exposure, and pre-trade scenarios — when the simulation lives in your workbook's formulas, runnable on demand from your trading stack.
Structured products
Valuation, risk decomposition, and lifecycle calculations for structured products — auditable and reconcilable to the workbook.
A Black-Scholes option pricer with Greek calculations — built from the desk's workbook in seconds. Output reconciled against years of book values before any quant signs off.
Bring your hardest pricing workbook.
Demos run on your file. If we can't reproduce your current valuations within the first session, we'll tell you on the call.