Fixed Income
Models & Methods
- Black Model
- Single and Multifactor Hull–White (HW)
- Black–Karasinski Model
- Generalized Shifted Black–Karasinski Model
- Spot–Skew Model
- Black–Derman–Toy Model
- Classic Brace–Gatarek–Musiela Model
- Shifted BGM Model
- Stochastic Volatility BGM Model (in progress)
- Generic Tree N–Factor Models for Multicallable Exotics
- Longstaff–Schwartz Method
Instruments
- Vanilla Swap/Swaption
- Cross-Currency Swap/Swaption
- Basis Swap/Swaption
- CMS Swap/Swaption
- Equity Linked Swap/Swaption
- Differential Swap/Swaption
- Quanto Index Swap/Swaption
- Range Accrual Swap/Swaption
- Knock–Out Swap/Swaption
- Variable Callable Swap/Swaption
- Index Amortizing Swap/Swaption
- Cap/Floor
- Auto/Flexi/Limit Cap
- Chooser Flexible Cap
- Digital Cap
- Callable Cap
- Constant Maturity Cap
- Lookback Cap
- Callable Reverse Floater
- Callable Range Accrual
- Chooser Range Accrual
- Step–up Range Accrual
- Flip–Flop*
- Snowball/Snowbear/Thunderball*
- Target Redemption Note*
- Snowblade
- FX Index Linked Knock–Out
- Power Reverse Dual Currency Note
- Callable/Putable Bonds
* Both normal and callable deals
Credit
Models & Methods
- Hybrid CR/IR models with Deterministic or Stochastic Components
- Gaussian and t–Copula Models
- Advanced Factor Models of Credit Baskets
- Multiperiod Simulation Models (Hull-White)
- Twisted Monte Carlo Simulations
- Direct Grid Convolution
- Fourier/Laplace Transform
- Asymptotic Saddlepoint Methods
- VaR and Shortfall for Credit Portfolios
Instruments
- Credit Default Swap
- Credit Default Swaption
- Asset Swap
- Credit Spread Option
- Cancelable Asset Swap
- Total Return Swap
- Callable/Putable Corporate Bonds
- Brady Bonds
- Equity Default Swap
- Constant Maturity CDS
- Credit Linked Notes
- CDS Indexes
- Options on CDS Indexes
- Synthetic Single Tranche CDOs
- Cashflow CDOs
- CDO–Squared
- Bespoke Tranches
- Basket Default Swaps
- X–to–Y To Default Baskets
- Bond Portfolios
- Loan Portfolios
Equity
Models & Methods
- Black–Scholes Model with Term Structure
- Continuous or Discrete Dividends
- Local Volatility (Dupire)
- Heston Model
- SABR Model
- BS Equity Basket Model
- Hybrid Models EQ/IR
- Lattice/PDE/Trinomial Trees/Simulation
Instruments
- Quanto Structures
- Basket Options
- Outperformance Options
- Best of Options
- Worst of Options
- Himalaya
- Altiplano
- Everest
- Generalized Correlation Structures
- European Options
- Forward Start Options
- American Options
- Asian Strike Options
- Asian Rate Options
- Arithmetic Averaging
- Geometric Averaging
- Single Barrier Options
- Double Barrier Options
- Outside Barrier Options
- Window Barrier Options
- Soft Barrier (Parisian)
- Compound Call on Call
- Compound Call on Put
- Compound Put on Call
- Compound Put on Put
- Installment Options
- Global Cliquet Options
- Local Cliquet Options
- Digital Asset or Nothing
- Digital Cash or Nothing
- Digital Barriers
- Digital Double Barrier
- Digital No Touch
- Barrier Rebates
- Lookback Strike Options
- Fixed Strike Lookback Options
- Lookback Range Options
- Power Options
- Simple Chooser Options
- Complex Chooser Options
Foreign Exchange
Models & Methods
- Black–Scholes and Term Structure
- Local Volatility (Dupire)
- Heston Model
- SABR Model
- Lattice/PDE/Trinomial Trees/Simulation
Instruments
- Power Reverse Dual Bond
- European/American Call/Put
- Digital FX Options with Domestic/Foreign Payoff
- Futures FX Options
- Forward Starting FX Options
- Quanto FX Options
- 2–Asset FX Options
- Knock–in/out FX Options
- Digital Knock-in/out FX Options
- Corridor FX Options
- Window Barrier FX Options
- Window Corridor FX Options
- Asian FX Options
- Lookback FX Option
- Average Strike FX Option
- Average Rate FX Option
- Barrier FX Options with Rebates
- Options on Currency Baskets
- Long Dated FX options
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