Choosing Computer Algebra Software for Derivative Pricing

Summary

The document asks which computer algebra system can help reproduce financial pricing formulas, using a year-on-year inflation swap under the Jarrow–Yildirim model as an example. The motivation is to check mathematical derivations against code and avoid transcription errors when working from published results.

The reply distinguishes general numerical finance tools such as R and MATLAB from a commercial derivatives platform built on Mathematica. It says that platform’s functions can be called within Mathematica for pricing, and mentions Java interfaces for using them externally. This is a short software pointer rather than a comparison or tutorial: it gives no implementation details, benchmark, pricing example, or assessment of alternative symbolic systems. The suggestion is therefore a starting point for investigation, not evidence that a particular system is best for every model or workflow.

Key ideas

• Computer algebra can help reproduce published financial pricing derivations and reduce transcription errors.
• The reply points to Mathematica-based commercial software for derivative pricing.
• It mentions access to the platform’s pricing functions from Mathematica and through Java interfaces.
• The document provides no comparison, code example, or model-specific validation.

Tags

# What is a good Computer Algebra System for financial engineering?


# What is a good Computer Algebra System for financial engineering?












I would like to know if there exists some computer algebra systems adapted to calculate pricing based on particular models, i.e. pricing YoY Inflation Swap under Jarrow Yildirim Model.

I know that the results are known and showed in books such as Brigo & Mercurio, but I would like to be able to reproduce the results using some code in order to avoid stupid typos in mathematical passages.

## Answer by Richi Wa (score 2)

https://quant.stackexchange.com/a/15047

I am rather a fan of mathematical/statistical software for doing numerical finance (R/Matlab).

But returning to your question: The commercial software UNRISK is based on mathematica, a computer algebra system.

Usually you can use the Unrisk functions right in mathematica and price financial derivatives there. There also exists Jave interfaces if you want to use these functions outside of mathematica.

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