29.09.2016
Uploaded DBK, AAPL pics of volsurface fits today. Aggregated fitting pics in their own folder.
07.09.2016
"Trading realised variance using listed vanillas" recently published - see more and download here
18.05.2016
Streamlined with list of new and updated courses. Note: software pages, which describe our main business, are in process of being updated 
Read all news »

The Core Library

Our software products are built around our analytics library for equity derivatives pricing and risk management, which includes, among other features:

  • A generic Monte Carlo Pricer allowing pricing of user-defined multi-underlying  exotics (within a wide range)
    • American exercise allowed (Longstaff-Schwartz)
    • The payoff representation is very compact, usually just a few lines. 
    • Physical settlement allowed
    • Stochasticity can be switched off to use the payoff scripting for complex delta-1 products
  • Dedicated pricers for:
    • European and American vanilla options
    • single and double barriers, including fast ones to price multiple options at once
    • variance/volatility swaps and options on variance
    • fast pricing of European multi-underlying exotic derivatives
  • Flexible dividend modellinginternally consistent with greeks calculation
  • Advanced volatility surface modelling, allowing detailed calibration to market prices, but still using intuitive parameters such as skew and smile (we believe our proprietary parameterisations to be state of the art)
  • Multi-YieldCurve framework: different yieldcurves possible for same currency, application to OTC pricing
  • Sophisticated framework and tools to for  scenario analysis and stressing
    • Every parameter in the volsurface can be stressed, as well as spot, dividends, borrows, rates, credit spreads, correlations
    • Stressing in the future includes retention of cash payments and proper treatment of physical settlement
  • Pricing methods:
    • Market-standard Local Volatility approach used where appropriate to consistently capture the effects of the volatility surface, i.e. skew and smile (particular care is paid to avoid the notorious numerical problems often arising from naïve Local Vol)
    • Implied Distribution for european exotics
    • Stochastic Local Vol to analyse structures sensitive to forward skew and vol-vol
  • Modules for:
    • P&L Attribution Analysis (PAA)
    • Value At Risk (VaR)
    • Customised analysis of structured products from the investor point of view (SPIN)
    • Historical data analysis
  • The .NET/Excel integration uses Excel-DNA.

We believe in keeping our library top quality and up-to-date, hence we have chosen to avoid the most esoteric models which are required for some of the highly exotic payoffs. See Aims and approach.

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