Ready-n-Customizable Derivatives Pricing Models

derivatives pricing models

Ready-n-Customizable Pricing Models are a suite of robust, ready-to-use calibration solutions. Based upon industry standard model dynamics, Ready-n-Customizable Pricing Models can be integrated with existing trading and risk systems or used as standalone products. All Ready-n-Customizable Pricing Models can easily be enhanced to meet a customer’s particular requirements.

Ready-n-Customizable Pricing Models are available as Excel spreadsheet and add-ins, Windows/Unix executables, embedded in Java, Python, COM, or .NET wrappers or as C/C++ source code.

Derivatives Pricing Models

Universal Convertible Bond Pricing Model

The Universal Convertible Bond Pricing Model is a fast, ready-to-use PDE-based convertible bond pricing engine for valuing a broad range of convertible bonds with both standard and exotic bond features.

VIX Option Analzyer

The VIX Option Analyzer is a ready-to-use module that calibrates a universal volatility model jointly to SPX and VIX options while generating prices and sensitivities under the calibrated model. The calibrated model is ideally suited for identifying arbitrage opportunities or pricing and hedging OTC volatility contracts.

CDS Pricer

The CDS Pricer employs an intensity-based framework to price a standard credit default swap contract with upfront payment and subsequent running coupons. A CDS Calibrator is included to extract the underlying piecewise constant hazard curve from standard CDS market quotes.

Bond Calculator

The Bond Calculator is a standalone calculation engine that provides a robust suite of bond calculations for both primary and secondary bond issues.


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