The Analytic Space Basic Pricing & Calibration Models is a suite of pre-implemented derivatives pricing and calibration models organized by asset class. End Users may elect to license Analytic Space Basic Pricing & Calibration Models as part of Analytic Space.

Customers seeking to expand their pricing and calibration model functionality may do so with SciComp. SciComp provides two alternative modeling solutions; SciFinance, an in-house technology that facilitates the development of derivatives pricing models and SciComp Consulting, a skilled and professional quantitative development team that provides expert, cost-effective consulting services for both industry standard or custom derivatives pricing and calibration models.

Pre-implemeted pricing and calibration models available with Analytic Space


  • European/American Option (PDE)
  • Two-factor Schwartz Calibrator


  • CDS (Analytic)
  • CDS Calibrator (Implied Hazard Rate)
  • Defaultable Bond (Analytic)

Cross Currency

  • Cross Currency Swap
  • Cross Currency Option
  • Cross Currency Barrier Option


  • European Option (BlackScholes Analytic)
  • American Option (BlackScholes PDE)
  • European Option (Heston Analytic)
  • Heston Calibrator

Interest Rate

  • Swap (Analytic)
  • Cap/Floor (Analytic G1 Model)
  • Swaption (Analytic G1 Model)
  • One Factor Gaussian Calibrator


  • European Option (BlackScholes Analytic)
  • American Option (BlackScholes PDE)
  • Double NoTouch (Heston PDE)
  • Heston Calibrator

Convertible Bonds

Universal Convertible Bond Pricing Model is a ready-to-use solution for valuing a broad range of convertible bonds.

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