Pricing Partners' Interest Rates Module provides you with a wide coverage of derivative products, pricing models and numerical methods.
Models available Deterministic Short rate models: Hull and White 1,2 F, Quadratic Gaussian 1F (QGM) BGM: multi-factors (smiled version with shifted lognormal), BGM with stochastic volatility (Rebonato) Others: Markov Functional model 1 & 2 F, Hagan Adjusters Analytical, Black Scholes, Normal, SABR
Application to products includes : Reverse Floater and CMS TARN TARN digital Snowball callable on reverse floater, on CMS Spread Snowball digital Callable spread option, capped, floored Callable Reverse Floater CMS Spread option and Range Accrual on CMS Spread
To learn more about Pricing Partners' exhaustive models and product examples, download the list of models. |
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