Pricing [New] Added pricing of Target/KI/KO exotics, priced with Gaussian HJM model [New] Added pricing of One-Touch and No-Touch digitals (on FX/EQ/CO) [New] Added pricing of Lookback options (on FX/EQ/CO) [New] Added pricing of BRL bonds (special conventions) [New] Added support of cross-currency asset swaps [New] Added a stickiness parameter (per expiry) on FX/EQ/CO volatility… Read More »
The past ten years since the GFC have been remarkable in many ways for the derivative markets and the instruments traded. Among other things, the trend towards greater complexity in the financial markets and their increased regulation has been a dominant force, reshaping the way business is conducted, inflating the cost base and forcing consolidation.… Read More »
XVA stands for Valuation Adjustments, i.e. the valuation of the credit, funding and regulatory capital requirements embedded in derivative contracts. Traditional risk-neutral pricing assumes risk free discounting and neglects all these aspects, so adjustments need to be added to account for them. “Adjustment” does not mean it is minor, and XVA adjustments can be very… Read More »