Models
Interest Rate Models
Black-76
Bachelier
Vasicek
Generalized Hull-White
Black-Karasinski
LIBOR Market Model
Multi Curve 1 Factor Model
all with advanced calibration schemes
Equity Models
Generalized Black Scholes
Dupire
Heston
Variance Gamma Model
Normal Inverse Gaussian Model
Commodity Models
1-Factor Mean Reverting Log-Normal Model
2-Factor Mean Reverting Log-Normal Model
Inflation Models
Stochastic Inflation Model in combination with 1 Factor Hull & White Model
FX Models
Garman-Kohlhagen
Dupire
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
- Equity Baskets
- Volatility / Variance Swaps
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
- Credit Default Swap Indices
- 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 Commodity 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