Welcome to BRODA
BRODA supports all areas of information systems specializing in the development and marketing of innovative scientific software. BRODA also offers consultancy services to financial institutions and produces specialist financial software for quantitative analysts.
BRODA's success formula has been coined by talented people using robust technologies to meet complex business requirements. Through alliances with professionals from all over the world BRODA provides effective solutions for both large and small companies, tailoring software to meet the needs of our customers.
Banks today are looking to advance approaches that will ensure available capital is put to its most effective use. One way to improve profitability is to invest in IT infrastructure and new software that will better manage risk, decrease operating costs, and help drive growth. Monte Carlo (MC) simulation is unique universal method and it is at the heart of pricing and risk management engines.
Historically MC Methods have been used in the valuation of options with multiple sources of uncertainty or with complicated features such as path dependent structures. The MC method solves a problem by simulating the underlying process and then calculating the (average) result of the process. Basel III introduces two major changes in risk assessments: the Credit Valuation Adjustment (CVA) capital charge, and the new calculation of EEPE (Effective Expected Positive Exposure) to address wrong-way risk. Both of these measures require accurate estimation of credit exposure, which enables banks to actively manage counterparty credit risk and help reduce regulatory capital. The expected exposure is computed by simulating many future scenarios of risk factors for the given contract or portfolio. The number of risk factors (interest rates, stock indices, foreign exchange rates, etc.) multiplied by the number of time steps in the future can result in tens of thousands of dimensions. Hence, risk management engines require the use of multidimensional MC methods.
Although MC is a universal method widely used in finance, the rate of convergence of MC is rather slow. A much higher rate of convergence can be obtained by using quasi-Monte Carlo (QMC) methods based on Sobol' low discrepancy sequences which provide the best solution for applications in finance requiring MC methods.
Paul Glasserman in his highly acclaimed book "Monte Carlo Methods in Financial Engineering" (2004) says: “Preponderance of the experimental evidence amassed to date points to Sobol sequences as the most effective quasi-Monte Carlo method for application in financial engineering.” Comparison between MC and QMC shows that applications based on QMC converge up to two orders of magnitude faster without loss of accuracy than those based on MC. For the same number of scenarios, QMC methods show much more accurate and stable results properties than MC, which result in a dramatic reduction of computational time. Switching from MC to QMC is a straightforward replacement of MC generator by the Sobol sequence generator and it offers a cost-effective solution for improving bank’s existing computer capabilities.
BRODA has been developing, testing and distributing high-dimensional Sobol sequence generators for more than 15 years. All our generators were developed jointly with Prof. Sobol. Comparison tests show that our SobolSeq generators outperform all other known generators both in speed and accuracy. BRODA’s high dimensional Sobol sequences generators have become the industry standard in finance.
BRODA released a new 65536 dimensional Sobol' Sequence generator SobolSeq65536. Not only this generator has very high dimensionality and employs the super fast generation algorithm but the generated Sobol' sequences satisfy Property A in all dimensions and property A' for the adjacent dimensions. It was developed by Prof. Sobol' in collaboration with BRODA.
BRODA congratulates Prof. Sobol' on his 80th birthday. Prof. Sobol' is an outstanding mathematician internationally renowned for his fundamental works in mathematics. BRODA is proud to have a long term working relationship with Prof. Sobol. We wish him good health, new scientific achievements and many happy years ahead.
April 16, 2004
Wilmott magazine awarded Prof. Sobol' the first Wilmott fellowship.