Pricing Interest Rate Derivatives

One size does not fit all. SciComp offers two types of solutions for pricing interest rate derivatives:

  • The ultimate flexible coding solution, SciFinance® is a C/C++/CUDA source code generator for building derivatives pricing models in-house. Providing you full control over modeling decisions, SciFinance significantly reduces development time and costs.
  • Our expert quantitative development staff at SciComp Consulting can develop a wide variety of standard or custom derivatives pricing models, calibration routines and risk management tools that are tailored to your requirements.

 

pricing interest rate derivatives

Interest rate derivative features

Pricing models for Interest rate derivatives*

  • Local volatility models (LV)
  • Stochastic volatility models (SV), including asset (SVJ) and variance jumps (SVJJ)
  • Local stochastic volatility models (LSV)
  • SABR, Levy models, including stochastic time change, VG, CGMY, CGMYSA, etc.  
  • Single and multi-factor short rate models
  • Libor Market Models (LMM)
  • Custom user defined models

Interest rate derivative pricing model calibration

Calibrators are available for interest rate derivatives pricing models.

Interest rate derivatives features*

  • Asian and Lookbacks
  • Barriers
  • Stochastic Volatility and Jumps;
  • Basket Options
  • Mountain Range Options
  • Other Path Dependent Options
  • American Options
  • Cliquet and Forward Options
  • Volatility and Variance Swaps
  • Structured Notes

*partial, representative list

Get more information on interest rate derivatives pricing models. Contact us >>

 

SciComp solution benefits for interest rate derivatives

SciFinance®

  • No-hand coding, no-black boxes: Generates source code from concise, high-level model specifications. Not an inflexible set of library routines that offers imprecise or limited functionality.
  • Comprehensive: Cross-asset support with hundreds of model specifications, easily modified through keywords.
  • Latest techniques without the learning curve: Automatically generates GPU-enabled pricing model source code. No parallel computing or CUDA programming expertise is required.
  • Customer-driven: Developed with the input of practitioners at top-tier financial institutions worldwide.

SciComp Consulting

  • Expertise: Our expert quant/developer staff has years of derivatives experience, developing pricing models for financial institutions around the globe.
  • Ready-to-use or customized derivatives solutions: Comprehensive selection of ready-to-use pricing models and calibrators, any of which can be customized to meet your exact needs.
  • Comprehensive derivatives model development:
    • Design
    • Implementation
    • Testing
  • Performance enhanced pricing models: GPU-enabled or OpenMP-compliant derivatives pricing models.