Financial Instruments

Interest Rate Derivatives

Coupon Paying Bonds

  • (Multi Callable and/or Putable) Fixed Rate Bonds
  • (Multi Callable and/or Putable) Step Up / Step Down Bonds
  • (Multi Callable and/or Putable) Money Market Floater with Cap / Floor
  • (Multi Callable and/or Putable) Constant Maturity Floater with Cap / Floor
  • (Multi Callable and/or Putable) Reverse Floater with Cap / Floor
  • (Multi Callable and/or Putable) Fixed-to-Floating Rate Notes
  • (Multi Callable and/or Putable) CMS Spreads (Steepener)
  • (Multi Callable and/or Putable) Snowball Floater (Memory / Cliquet Inverse Floater)
  • (Multi Callable and/or Putable) Ratchet Floater
  • (Multi Callable and/or Putable) Quantos
  • (Multi Callable and/or Putable) Quanto CMS Spreads (Steepener)
  • (Multi Callable and/or Putable) Quanto Spreads
  • (Multi Callable and/or Putable) Volatility Bonds (Start / End and Max / Min)
  • (Multi Callable and/or Putable) Switchable Fixed Rate Zeros
  • (Multi Callable and/or Putable) Snowball Steepener
  • (Multi Callable and/or Putable) Min / Max Steepener
  • Callable Multitranche Zeros
  • Autocallable Money Market Floater with Cap / Floor
  • Autocallable Constant Maturity Floater with Cap / Floor
  • Autocallable Reverse Floater with Cap / Floor
  • Autocallable Fixed-to-Floating Rate Notes
  • Autocallable CMS Spreads (Steepener)
  • Average Rate Floater
  • Target Redemption Notes
  • Target Redemption Quantos
  • Target Redemption CMS Spreads (Steepener)
  • Target Redemption Snowball Floater (Memory / Cliquet Inverse Floater)

Zero Bonds

  • (Multi Callable and/or Putable) Fixed Rate Bond Zeros
  • (Multi Callable and/or Putable) Step Up / Step Down Bond Zeros
  • (Multi Callable and/or Putable) Money Market Floater with Cap / Floor on Zero Basis
  • (Multi Callable and/or Putable) Constant Maturity Floater with Cap / Floor on Zero Basis
  • (Multi Callable and/or Putable) Reverse Floater with Cap / Floor on Zero Basis
  • (Multi Callable and/or Putable) Fixed-to-Floating Rate Notes on Zero Basis
  • (Multi Callable and/or Putable) CMS Spreads (Steepener) on Zero Basis

Swaps

  • Vanilla Swaps
  • (Callable and/or Putable) Constant Maturity Swaps
  • (Callable and/or Putable) Amortizing Constant Maturity Swaps
  • (Callable and/or Putable) General Constant Maturity Swaps
  • (Callable and/or Putable) General Amortizing Constant Maturity Swaps
  • (Callable and/or Putable) Snowball Swaps (Memory / Cliquet Inverse Swaps)
  • (Callable and/or Putable) Ratchet Swaps
  • (Callable and/or Putable) Digital Range Accrual Swaps
  • (Callable and/or Putable) CMS Spread Swaps (Steepener Swaps)
  • (Callable and/or Putable) Spread Range Accrual Swaps
  • (Callable and/or Putable) Quanto Swaps
  • Target Redemption Swaps
  • Target Redemption Steepener Swaps

Bond Options

  • Fixed Rate Bond Options (Bermudan or American)
  • Options on Step Up / Step Down Bonds (Bermudan or American)
  • Options on Money Market Floater with Cap / Floor (Bermudan or American)
  • Options on Constant Maturity Floater with Cap / Floor (Bermudan or American)
  • Options on Reverse Floater with Cap / Floor (Bermudan or American)
  • Options on Fixed-to-Floating Rate Notes (Bermudan or American)

Range Accruals

  • (Callable and/or Putable) CMS Range Accruals
  • (Callable and/or Putable) Digital Range Accruals
  • (Callable and/or Putable) Digital Range Accrual Zeros
  • (Callable and/or Putable) Digital Spread Range Accruals
  • (Callable and/or Putable) Dual Digital Range Accruals
  • (Callable and/or Putable) Spread Range Accruals
  • Range Accruals with Lock-In Feature
  • Target Redemption Digital Range Accruals

Other Interest Rate Instruments

  • Forward Rate Agreements (FRA)
  • Caps / Floors
  • Auto / Chooser Caps / Floors
  • American / European / Bermudan Swaptions
  • Captions / Floortions
  • Switch Obligations
  • Bund Futures
  • Bund Future Options

Valuation under

  • Swap Curves
  • Yield Curves
  • Black76 Model
  • Bachelier Model
  • LIBOR Market Model
  • Generalized Hull & White 1 Factor Model
  • Generalized Hull & White 2 Factor Model
  • Black Karasinski Model
  • Multi Curve 1 Factor Model

Convertibles

Convertible Bonds with

  • Soft Call Feature
  • Reset Feature
  • Bermudan / American Conversion
  • Bermudan / American Call Feature
  • Bermudan / American Put Feature

Valuation under

  • Black-Scholes Model
  • Generalized Hull & White 1 Factor Model

Equity Derivatives

Vanilla Options (European / Bermudan / American)

Barrier (Quanto) Options (European / Bermudan / American)

  • Up & Out Options with / without Rebate
  • Up & In Options with / without Rebate
  • Down & Out Options with / without Rebate
  • Down & In Options with / without Rebate
  • Double Barrier Out Options with / without Rebate
  • Double Barrier In Options with / without Rebate

Path Dependent Options

  • Asian Options
  • Floating Strike Lookback Options
  • Fixed Strike Lookback Options
  • Forward Start Options
  • Time-Switch Options

Other Equity Derivatives

  • Digital Options
  • Digital (Up / Down, Out / In) Barrier Options
  • Digital Double (Out / In) Barrier Options
  • Compound Options
  • Chooser Options
  • Extendible Options
  • Gap Options
  • Supershare Options
  • Equity Futures
  • Options on Equity Futures

Valuation under

  • Black-Scholes Model
  • Dupire Model (Local Volatility)
  • Heston Model
  • Variance Gamma (VG) Model
  • Normal Inverse Gaussion (NIG) Model

FX Derivatives

Vanilla Options (European / Bermudan / American)

Barrier Options (European / Bermudan / American)

  • Up & Out Options with / without Rebate
  • Up & In Options with / without Rebate
  • Down & Out Options with / without Rebate
  • Down & In Options with / without Rebate
  • Double Barrier Out Options with / without Rebate
  • Double Barrier In Options with / without Rebate

Path Dependent Options

  • Asian Options
  • Floating Strike Lookback Options
  • Fixed Strike Lookback Options
  • Forward Start Options
  • Time-Switch Options

Other FX Derivatives

  • Digital Options
  • Digital (Up / Down, Out / In) Barrier Options
  • Digital Double (Out / In) Barrier Options
  • Compound Options
  • Chooser Options
  • Extendible Options
  • Gap Options
  • Supershare Options
  • Vanilla FX Quanto Options

Valuation under

  • Garman-Kohlhagen Model
  • Dupire Model (Local Volatility)

Other Derivatives

Inflation Linked Instruments

  • Inflation Linked Floater
  • (Callable / Putable) Inflation Linked Bonds
  • (Callable / Putable) Inflation Linked Range Accruals
  • Inflation Linked Digital Bonds
  • Inflation Spreads
  • Inflation Zero Coupon Swap
  • Inflation Year-on-Year Swap

Valuation under

  • Generalized Hull & White 1 Factor Model for the Interest Rates
  • (1 or 2) 1 Factor Inflation Model(s)

Interest Rate / FX Rate Linked Instruments

  • (Callable / Putable) FX Linked Bonds
  • (Callable / Putable) FX Linked Swaps

Valuation under

  • Generalized Hull & White 1 Factor Models for the Interest Rates of the involved currencies
  • Garman-Kohlhagen Models for the involved FX Rates

Credit Linked Instruments

  • Credit Default Swaps
  • Total Return Swaps
  • Credit Linked Notes on General Constant Maturity Floater
  • Credit Linked Notes on Inflation Linked Floater
  • CDO
  • Basket CLN
  • Nth-to-Default Note
  • Nth-to-Default Swap

Commodity Derivatives

  • Commodity Futures
  • Vanilla Commodity Options
  • Vanilla Commodity Quanto Options
  • Commodity Barrier Options
  • Commodity Quanto Barrier Options
  • Commodity Double Barrier Options
  • Commodity Quanto Double Barrier Options
  • Digital Commodity Options
  • Digital Commodity Quanto Options
  • Digital Commodity Barrier Options
  • Digital Commodity Quanto Barrier Options
  • Digital Commodity Double Barrier Options
  • Digital Commodty Quanto Double Barrier Options
  • Asian Commodity Options
  • Asian Commodity Quanto Options
  • Forward Start Commodity Options
  • Forward Start Commodity Quanto Options
  • Lookback Commodity Options
  • Lookback Commodity Quanto Options

Valuation under

  • 1-Factor Commodity Model
  • 2-Factor Commodity Model

 

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