ExoLib: Cutting-Edge Analytics for Equity Structured Products
A robust, state-less, and thread-safe C++ analytics framework engineered for fast, accurate pricing and risk calculation across the full spectrum of Equity Structured and Exotic Derivatives.
Core Functional Matrix
The Quant Checklist
Flexible Scripted Product Language
Explicitly represent and model any exotic product with full pricing and risk capabilities across both Monte Carlo and PDE analytic frameworks, simplified by various payoff primitives, such as worst-of/best-of/basket, window performances and knock-in/knock-out primitives.
Exotics Product Support
Full production coverage for Autocallables (spanning diverse barrier, coupon, and settlement styles), and products with discretionary exercise, such as Issuer-Callable notes.
Extensible Multi-Factor Market Models
Native implementation of full Equities market data suites, blended dividend methodologies, quanto, robust Local Volatility, Local Stochastic Volatility (both pricing and calibration), and Stochastic Equity-Interest Rate models.
Advanced Risk Management
Optimised Greeks calculation covering key risk metrics and powered by a robust scenario framework. Built-in capabilities for product lifecycling, barrier events, barrier/coupon overhedging (flat, spread, and conservative).
Performance vs. Industry Benchmarks
Faster Where It Matters Most
Vanilla pricers cite millisecond surfaces for simple options. ExoLib prices full multi-asset exotic structured products — autocallables, barrier notes, LSV — in the same order of magnitude.
1-Asset Autocallable PV
ExoLib
11 msPDE engine, LV model, European KI
1-Asset Autocallable PV + Greeks
ExoLib
42 msPDE engine, LV model, American KI
2-Asset Autocallable PV
ExoLib
90 msPDE engine, LV model, European KI
LSV Full Calibration + PV + Greeks
ExoLib
590 msLSV PDE, European KI, Delta/Gamma/Vega/Rho
ExoLib Benchmark Environment: 16-core Google Cloud AMD EPYC 9845 @2.70GHz. PDE: daily time-stepping, 500 space points (1D), 200 (2D). Monte Carlo: 65K paths. Instrument: Autocallable 3Y, Quarterly KO.