State of the art modelling
Market standards for IR volatility (shifted SABR model) with support for negative rates
Static replication model for CMS, quanto and in-arrears products
Vanna-Volga model for FX instruments
Numerous smile interpolations : linear/cubic spline, AFI, SVI, Vanna/Volga (FX), Event weights (Equities and Commodities)
Convertible bonds : Equity to Credit model with local volatility
Universal Model allowing to price any exotic product as well as XVA (see below)
Multi-curve discounting framework
Discount curves are deduced from CSAs, cross-currency basis swaps, or bond and CDS curves when relevant.
The contract characteristics determine the effective discounting : collateral effective return or counterparties credit rating.
For instance market data which are used for all products valuation correspond to market instruments that are « cleared » by a clearinghouse and thus these flows are discounted on OIS.
CRZ Pricer handles all types of yield curves : swaps, basis swaps, bonds, CDS. A bond curve for instance can be defined in yield, in asset-swap spread or in Z-spread. Credit curves discounting embeds the probability of default.
Our model reconciles therefore derivative products and borrowing / lending instruments valuations in a single framework
Universal Model for exotics
In the same Monte-Carlo simulation, one supports :
- As many underlyings as required in any asset class
- Assets in local volatility or local stochastic volatility
- Stochastic (normal) rates with multiple factors
- Stochastic volatility on rates
- Stochastic credit spreads with (J)CIR++ dynamics
- Generic and product specific control variates