Monthly Archives: April 2018

Pricing [New] Added ‘Monotone Convex’ Spline as described in www.math.ku.dk/~rolf/HaganWest.pdf [New] Added full details view on bond and bond futures to check static data as well as pricing details [New] Added market scenario to remove inflation seasonality [Bug]  Inflation bond risks were wrong (Inflation delta missing) [Bug]  Inflation bond index ratio rounding was not applied Contribution… Read More »

Pricing [New] Added LPI product [New] Added new payoffs: capped (float-call), floored (float+put), collared (float+put-call) [New] Added volatility swaps and options on volatility or variance swaps on FX, Equity and Commodity asset classes. The pricing is done thanks to an Heston model which is calibrated on the fly. [New] Deal audit improved to better spot… Read More »