Financial Instruments

  • A wide range of derivatives and structured instruments of equities, FX and interest rates
  • European, Bermudan, American, Asian and vast universe of exotic contract features
  • multiple callability

See full list of supported financial instruments.

Interest Rate Models

  • Black76
  • Vasicek
  • Generalized Hull-White
  • Black-Karasinski
  • LIBOR Market Model

with advanced calibration schemes.

Equity Models

  • Generalized Black Scholes
  • Dupire
  • Heston

FX Models

  • Garman-Kohlhagen
  • Dupire

Front Ends

  • Mathematica
  • Microsoft Excel via a proprietary Link with built-in parallelisation

System Requirements

  • Microsoft Windows platforms
  • Mathematica
  • Microsoft Excel