mathlayer® is a programming language designed to be embedded. It is unique in the way it can be integrated into Microsoft technologies such as Visual C++, C#, VB.NET, VBA or Excel. mathlayer® enhances your projects with powerful numerical capabilities as it gives you access to hundreds of functions allowing you to manipulate data, calculate analytics, visualize results, generate reports, retrieve data from the web and much more.


Value at Risk Backtesting

Backtesting can be computationally intensive and hard to set up. We provide flexible, efficient and scalable Value at Risk backtesting solutions for any asset class.

Portfolio Optimization

From classic Markowitz to powerful genetic algorithms handling multiple objectives and non linear constraints, our portfolio optimization solution is flexible and robust. You can also define custom portfolios and see how they perform against the efficient frontier returned by the optimizer.

Volatility Smile Calibration

Calibrate volatility smiles and surfaces using SABR, SVI or Heston models and their variations. Our framework allows for fast calibration on large historical data sets.

Scenario Engine

Our Scenario Engine solution allows you to generate historical and Monte Carlo scenarios based on your time series data. It provides a wide range of options in terms of returns calculation, covariance structure estimation and simulation methods. It also offers the possibility to use high dimensional Sobol random number generators improving the statistical properties of your simulations.

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