Coupon Paying Bonds

  • (Multi Callable and/or Putable) Fixed Rate Bonds
  • (Multi Callable and/or Putable) Step Up / Step Down Bonds
  • (Multi Callable and/or Putable) Money Market Floater with Cap / Floor
  • (Multi Callable and/or Putable) Constant Maturity Floater with Cap / Floor
  • (Multi Callable and/or Putable) Reverse Floater with Cap / Floor
  • (Multi Callable and/or Putable) Fixed-to-Floating Rate Notes
  • (Multi Callable and/or Putable) CMS Spreads (Steepener)
  • (Multi Callable and/or Putable) Snowball Floater (Memory / Cliquet Inverse Floater)
  • (Multi Callable and/or Putable) Ratchet Floater
  • (Multi Callable and/or Putable) Quantos
  • (Multi Callable and/or Putable) Quanto CMS Spreads (Steepener)
  • (Multi Callable and/or Putable) Quanto Spreads
  • (Multi Callable and/or Putable) Volatility Bonds (Start / End and Max / Min)
  • (Multi Callable and/or Putable) Switchable Fixed Rate Zeros
  • (Multi Callable and/or Putable) Snowball Steepener
  • (Multi Callable and/or Putable) Min / Max Steepener
  • Callable Multitranche Zeros
  • Autocallable Money Market Floater with Cap / Floor
  • Autocallable Constant Maturity Floater with Cap / Floor
  • Autocallable Reverse Floater with Cap / Floor
  • Autocallable Fixed-to-Floating Rate Notes
  • Autocallable CMS Spreads (Steepener)
  • Average Rate Floater
  • Target Redemption Notes
  • Target Redemption Quantos
  • Target Redemption CMS Spreads (Steepener)
  • Target Redemption Snowball Floater (Memory / Cliquet Inverse Floater)

Zero Bonds

  • (Multi Callable and/or Putable) Fixed Rate Bond Zeros
  • (Multi Callable and/or Putable) Step Up / Step Down Bond Zeros
  • (Multi Callable and/or Putable) Money Market Floater with Cap / Floor on Zero Basis
  • (Multi Callable and/or Putable) Constant Maturity Floater with Cap / Floor on Zero Basis
  • (Multi Callable and/or Putable) Reverse Floater with Cap / Floor on Zero Basis
  • (Multi Callable and/or Putable) Fixed-to-Floating Rate Notes on Zero Basis
  • (Multi Callable and/or Putable) CMS Spreads (Steepener) on Zero Basis

Swaps

  • Vanilla Swaps
  • (Callable and/or Putable) Constant Maturity Swaps
  • (Callable and/or Putable) Amortizing Constant Maturity Swaps
  • (Callable and/or Putable) General Constant Maturity Swaps
  • (Callable and/or Putable) General Amortizing Constant Maturity Swaps
  • (Callable and/or Putable) Snowball Swaps (Memory / Cliquet Inverse Swaps)
  • (Callable and/or Putable) Ratchet Swaps
  • (Callable and/or Putable) Digital Range Accrual Swaps
  • (Callable and/or Putable) CMS Spread Swaps (Steepener Swaps)
  • (Callable and/or Putable) Spread Range Accrual Swaps
  • (Callable and/or Putable) Quanto Swaps
  • Target Redemption Swaps
  • Target Redemption Steepener Swaps

Bond Options

  • Fixed Rate Bond Options (Bermudan or American)
  • Options on Step Up / Step Down Bonds (Bermudan or American)
  • Options on Money Market Floater with Cap / Floor (Bermudan or American)
  • Options on Constant Maturity Floater with Cap / Floor (Bermudan or American)
  • Options on Reverse Floater with Cap / Floor (Bermudan or American)
  • Options on Fixed-to-Floating Rate Notes (Bermudan or American)

Range Accruals

  • (Callable and/or Putable) CMS Range Accruals
  • (Callable and/or Putable) Digital Range Accruals
  • (Callable and/or Putable) Digital Range Accrual Zeros
  • (Callable and/or Putable) Digital Spread Range Accruals
  • (Callable and/or Putable) Dual Digital Range Accruals
  • (Callable and/or Putable) Spread Range Accruals
  • Range Accruals with Lock-In Feature
  • Target Redemption Digital Range Accruals

Other Interest Rate Instruments

  • Forward Rate Agreements (FRA)
  • Caps / Floors
  • Auto / Chooser Caps / Floors
  • American / European / Bermudan Swaptions
  • Captions / Floortions
  • Switch Obligations
  • Bund Futures
  • Bund Future Options

Valuation under

  • Swap Curves
  • Yield Curves
  • Black76 Model
  • Bachelier Model
  • LIBOR Market Model
  • Generalized Hull & White 1 Factor Model
  • Generalized Hull & White 2 Factor Model
  • Black Karasinski Model
  • Multi CurveĀ 1 Factor Model