Computational engine · Two domains
Problems that were
too slow
to solve in production.
We build exact, deterministic solvers for computationally intractable problems. No approximation shortcuts. No statistical noise. Results validated against reference benchmarks on both domains.
solver · runRheology
1// polymer melt — non-linear viscoelastic
2"regime": "entangled",
3"method": "exact",
4"G_prime": validated,
5"status": "converged"
solver · runStructured finance
1// exotic rate derivatives — callable
2"method": "exact",
3"variance": 0,
4"greeks": "analytic",
5"status": "converged"
Exact pricing
·
Zero variance
·
Analytic Greeks
·
Rheology validated
·
Multi-factor extension
·
Pilot open
Benchmark · Live proof
From 45 seconds, noisy
to <500ms, exact
⛔ The old way (MC LSM)
~45 seconds
Heavy Monte Carlo · noisy Greeks · non‑certified · path‑dependent variance
⚡ MeltAlice MAX‑PLUS
<500 ms
Deterministic · exact price & Greeks · zero variance · certified outputs
For years, challenging the valuation of complex interest rate derivatives required heavy Monte Carlo infrastructures, computing times incompatible with intraday trading, or almost total reliance on counterparty MTMs.
Here is what a modern quant architecture enables today. 👇
This report was generated end‑to‑end by the MeltAlice Quant Engine for a callable USD Bermudan Swaption: full pricing, Greeks (PV01, Gamma, Theta), model risk diagnostic, Monte Carlo benchmark, full HW1F calibration.
⏱ Total "cold start" time: 47 seconds. This includes market data downloading, curve bootstrapping, full model calibration, pricing, sensitivity calculations, cross‑strip stress testing.
Here is what a modern quant architecture enables today. 👇
This report was generated end‑to‑end by the MeltAlice Quant Engine for a callable USD Bermudan Swaption: full pricing, Greeks (PV01, Gamma, Theta), model risk diagnostic, Monte Carlo benchmark, full HW1F calibration.
⏱ Total "cold start" time: 47 seconds. This includes market data downloading, curve bootstrapping, full model calibration, pricing, sensitivity calculations, cross‑strip stress testing.
MeltAlice Quant Engine — Valuation Report | Global Execution Time: 47.837s | Notional: $10,000,000 | Method: MAXPLUS
[1] PRODUCT VALUATION
Price (% pts)4.3937%
Net Value ($)$439,370.30
ATM Strike (K_atm)4.0768%
Calibration Error9.69e-14
MC Benchmark4.4162% ± 1.81 bp (80k paths)
Premium vs European LB118.509 bps
[2] RISK MATRIX (TRADER GREEKS)
PV01 — Global Delta ($)$ -3,525 per 1bp
Gamma447.6098
Theta Total — 1d P&L0.00005741
Theta Pure annualized-0.00063823
Theta Carry annualized0.02426580
[3] MODEL RISK DIAGNOSTIC
Engine VerdictHIGH — consider HiNZF or LMM
Max Relative Cross‑Strip Error45.6388%
MethodMAX-PLUS · HW1F
MeltAlice Quant Engine — HW1F — MAX‑PLUS — US Treasury 10.0Y strip
Coverage
Two hard problems.
One engine.
The computational structure underlying both domains is identical — a deterministic backward recursion that avoids simulation entirely. The physics differ. The solver does not.
Domain 01 — Polymer Rheology
Non-linear viscoelastic
flow of entangled melts.
flow of entangled melts.
Predicting the rheological response of polymer melts under complex flow conditions is computationally prohibitive with standard tube-model solvers. Processing windows, shear thinning regimes, and storage modulus curves require thousands of evaluations that existing methods cannot sustain in real time.
Our solver produces exact storage and loss moduli, normal stress differences, and transient responses — without statistical approximation — at a fraction of the conventional runtime.
Our solver produces exact storage and loss moduli, normal stress differences, and transient responses — without statistical approximation — at a fraction of the conventional runtime.
ExactG′, G″ — no fitting bias
Sub-secondper rheology curve
Validatedvs. reference experimental data
Domain 02 — Structured Finance
Callable exotic rate
derivatives — production speed.
derivatives — production speed.
Pricing callable Bermudan structures and computing their risk sensitivities intraday is the standard bottleneck of exotic rate desks. Monte Carlo methods require hundreds of thousands of paths and introduce statistical error in both price and Greeks — making real-time hedging unreliable.
Our solver is deterministic. Price, Delta, and Gamma are produced in a single pass with no variance and no bump-and-reprice. Validated against industry benchmarks under NDA on live book data.
Our solver is deterministic. Price, Delta, and Gamma are produced in a single pass with no variance and no bump-and-reprice. Validated against industry benchmarks under NDA on live book data.
Exactprice — zero statistical error
AnalyticGreeks — no bump required
< 1 sper Bermudan callable structure
What we do differently
Not faster approximations.
Exact results.
01
Deterministic by construction
Every output is reproducible to machine precision. Running the solver twice on identical inputs produces identical results. No seed. No path dependency. No confidence interval needed.
02
Greeks without perturbation
Risk sensitivities are produced analytically as part of the same computation that yields the price. No finite-difference bumping. No additional compute time. Stable under extreme market moves where bump methods destabilise.
03
Blind benchmark first
We do not ask for trust. We offer a benchmark on your own data, under NDA, against your current pricer. Results speak first. If the numbers do not beat your reference, the conversation ends there.
Engagement
From benchmark
to production.
Step 01 — Scope
You send us a representative dataset
A sample of 10 to 50 cases from your actual production — polymer formulations or rate structures. No proprietary model access required. We sign NDA on day one.
Step 02 — Benchmark
We return exact results within 48 hours
Price, sensitivities, and runtime — side by side with your reference output. You validate independently. We do not interpret the comparison for you.
Step 03 — Integration
API or on-premise deployment
Callable via JSON in or out. Deployable in your infrastructure if data cannot leave your perimeter. Integration typically under two weeks for a standard stack.
Step 04 — Production
SLA, monitoring, and model updates
Ongoing maintenance covers regulatory curve changes, new polymer grades, and model extensions. Results guaranteed against reference benchmarks at every release.
Live benchmark output
Price accuracyExact
Statistical error0
GreeksAnalytic
Runtime vs. referenceAsk us
DeploymentAPI or on-premise
NDA requiredDay one
Benchmark turnaround48 h
Numbers validated on your data. No pitch until the benchmark speaks.
Current focus — Structured finance
The black box
you sign every month.
Mid-sized funds and corporate treasuries holding callable interest rate products on their balance sheet face a structural problem: they receive monthly MTM statements from their counterparty banks and have to sign them blindly.
Not because the numbers are necessarily wrong — but because they lack the in-house computing power to run an independent price and challenge the valuation when it matters most: at restructuring, at hedge unwind, or when rates move sharply.
We are actively looking to bring this exact capability to funds and treasuries in this situation — an independent, exact repricing engine that runs on your data, under NDA, and gives you a number you own rather than one you received.
Do you know a fund
signing MTM statements
it cannot verify?
An introduction is enough. We handle the benchmark, the NDA, and the conversation. No pitch on your end. If the numbers don't speak, nothing moves forward.
We will reply within 24h. No spam, only benchmark discussion.