Ready-n-Customizable Derivatives Calibration Models

derivatives calibration models

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

Ready-n-Customizable Calibration 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.

Calibration Models

Futures Volatility Surface Calibrator utilizes the SciComp extended classical log-normal model to incorporate volatility smiles.

Stochastic Local Volatility Calibrator creates a ‘leveraged’ local volatility surface that blends local and stochastic volatility processed while maintaining exact calibration to the implied volatility surface. Based on the work of Lipton [Risk, Feb 2002], Ren, et.al [Risk, Sept 2007], and Jex, et.al [J.P.Morgan, 1999].

Heston Stochastic Volatility Calibrator is a least-squares calibration of a Heston model via Levenberg-Marquardt. Available in either constant parameter or time-bucketed parameter versions.

Local Volatility Calibrator builds a local volatility surface from a term structure of implied volatility smiles via the Dupire equation, including SVI-fit smoothing.

1- or 2-Factor Short Rate Calibrator is a least-square calibration of either a 1-factor, constant parameter Gaussian model, or a 2-factor, constant parameter Gaussian model.

ATM Gabillon and Two-factor Schwartz Calibrators for a constant coefficient calibration to at-the-money future contracts.

Credit Calibrators

  • CDS Calibrator extracts a piecewise constant hazard curve from standard credit default swap (CDS) market quotes.
  • Large Pool Model Calibrator is an implied correlation for the given expected loss specified by credit tranche spreads.
  • Semi-Analytic Implied Base Correlation Calibrator includes credit index-based structures (e.g., DJ Itraxx, etc.)

 

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