FTQuant is a derivative pricing terminal using Monte-Carlo simulations with it's own language and ability to solve PDEs. Possible ways to improve the implementation:
- Multithreaded Monte-Carlo;
- More feature-rich set of derivatives (e.g. structural products like autocall);
- More models (Heston stochastic volatility model, local stochastic volatility models).
Documentation for the code is avaliable here.