SciComp can quickly and economically implement Custom Calibrators for users looking for either public domain or proprietary calibration routines that are tailored to their specific needs and requirements.
Custom Calibrators are available for a broad range or derivatives pricing models:
- Equity/FX/commodity models including many parameterized local volatility, stochastic volatility (with and without jumps), and pure jump models.
- Generic short rate models (including popular Gaussian and lognormal flavors) with interest rate and/or hazard rate calibration to volatility term structure of cap/swaptions and CDS spreads or corporate bonds.
- LIBOR market model calibration. Several parameterizations of the correlation matrix are available as well as several approaches for including volatility skew.
- Credit models, including survival/hazard rates from credit spreads, base correlation and semi-analytic models with deterministic or stochastic factor loading.
Many models can accommodate time dependent parameters, either exactly through numerical models of the calibration instruments, or through very fast approximate analytic techniques. Several robust optimization techniques are available, both gradient-based and stochastic.