Spreadsheet Code Generation for Financial Modeling
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Solution Overview
Problem
Actuaries face challenges in developing models for financial products like annuity contracts due to the inefficiency of spreadsheet applications, which require excessive time for simulations and are prone to errors when converted into specific-purpose programs by software developers lacking domain-specific knowledge.
Innovation Solution
A financial modeling system that generates an intermediate representation of spreadsheet data structures and compiles it into software code, allowing for faster and more accurate execution of financial models, specifically for variable annuity contracts, by using a processor to store and execute the compiled code.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Ease of operation
If spreadsheet applications are used to develop financial models, then ease of operation is improved, but productivity deteriorates due to prohibitively long execution times
Solution Approach 1:
The patent introduces an intermediate representation layer between the spreadsheet application and the execution engine. The spreadsheet is first converted to an intermediate representation format, which is then used by the execution engine to generate optimized code. This intermediary step allows the system to maintain the ease of use of spreadsheet applications while achieving the execution speed of compiled programs.
2Productivity
If software developers create specific-purpose programs based on spreadsheet models, then productivity is improved, but reliability deteriorates due to errors introduced during development
Solution Approach 1:
The system enables the spreadsheet model to essentially program itself by automatically generating the intermediate representation and execution code from the spreadsheet formulas and logic. This self-service approach eliminates the need for external software developers to manually program the model, thereby maintaining productivity while ensuring reliability since the generated code directly reflects the original spreadsheet model without human intervention errors.
3Productivity
If software developers program optimized programs based on spreadsheet models, then productivity is improved, but device complexity increases due to the development process
Solution Approach 1:
The patent segments the model development process into distinct phases: spreadsheet authoring, intermediate representation generation, and code execution. This segmentation allows actuaries to work with familiar spreadsheet tools while the system handles the complexity of optimization and code generation automatically. The intermediate representation serves as a separate layer that bridges the simple spreadsheet interface and the complex execution engine.
4Ease of operation
If spreadsheet applications are used for financial modeling, then ease of operation is improved, but loss of time increases due to lengthy simulation execution
Solution Approach 1:
The system performs preliminary actions by pre-compiling the spreadsheet model into an intermediate representation and then into optimized execution code before actual simulation runs. This pre-processing step, though requiring initial computational effort, enables significantly faster execution during subsequent simulations. The model is prepared in advance in an optimized form that can be executed rapidly without requiring repeated compilation or interpretation.
Data Source
AI summary
Disclosed herein are processor-executable methods, computing systems, and related technology for the generation of software code based on spreadsheet data models. A spreadsheet data model may be parsed, and an intermediate representation may be generated based on the spreadsheet data model. Software code may be generated based on the intermediate representation. The software code may be in a high-level language such as C or C++, or in any other appropriate language. Alternatively or additionally, the software code may include the use of General Purpose Computing On Graphics Processing Units (GPGPU) technology. The software code may be compiled, and then executed to obtain results data.