Cox - Ross (binomial) Garman - Kohlhagen Rubinstein - Reiner Black Black and Scholes Cox or Black

Forex Monay market / Futures Bonds Equities

• Market data from any contributors
• Swaps points calculated or from market
• Equities dividends: estimated or from market
• Volatilities: swaptions, cap/floor (flat, spot, smile), forex (smile)

Models

Input

• Call / put ratio, calendar, straddle, strangle, collar, synthetic underlying reversal & conversion…
• Pricer strategy rate future option, custom or from market ( liffe)

• Matrix of 50 strikes on all markets :
• Forex, future, bond, equity, index and future on index
• Classic strategy pricing (with 2 options)
• Greeks ó volatilities, spot (bid, ask)
• Multi-instruments strategies: rate and forex

Option matrix pricing

Strategies analytic valorisation

• Managing pricer: comparison on 6 currencies
• Rate type choice : pre / post
• Calculus : flows, swaps points, margin, interests

• Swap forward
• FRA (NxM)
• Swap : calculus by leg and by period with discount factor
• Cap / floor : premium / periodic, Greeks, swap equivalent rate, analysis by caplet

• Options on futures
• Options on bonds
• Exotics: binary cash, down / up, in / out
• Collar : strikes ó prime ó weighting rate
• Volatilities: flat, spot (vol smile)

• Flow pricing (clean price, rate, flow, spread on yield curve, index, bond)
• Signature risk (spread)
• Calculus : price ó yield
• Callables & puttables bonds
• Pricer cash & carry
• Convertibles

Loans

Bonds

Interest rate option

Pricing matrix / Operation detail