Features

• New interest rate model
  • LIBOR market model
• Financial Instruments under a LIBOR market model
  • Forward start swaptions
  • Callable / putable fixed rate bonds
  • Callable / putable general constant maturity floater
  • Callable / putable general constant maturity floater type 2
  • Callable / putable general steepener
  • Callable / putable general steepener type 2
  • Callable / putable general steepener type 2 with lock-in feature
  • Target redemption steepener
  • Target redemption notes
  • Callable / putable snowball floater
  • Callable / putable snowball steepener
  • Callable / putable ratchet floater
  • Target redemption snowball floater
  • Callable / putable digital range accruals
  • Callable / putable digital spread range accruals
  • Callable / putable dual digital range accruals
  • Callable / putable spread range accruals
  • Target redemption digital range accruals
  • Autocallable steepener
  • Autocallable general constant maturity floater
  • Callable / putable min/max volatility bonds
• General features
  • Valuation of equity and FX derivatives under a local volatility surface
  • Valuation of the most sophisticated types of equities, FX, and interest rates
  • Inclusion of dozens of exotic options and complex structured products, and a vast universe of exotic contract features
  • Multiple callability of even the most complex structures
  • Calculation of hedging, sensitivity parameters, and survival probabilities
  • Advanced calibration schemes for pricing and risk analysis with respect to market data
  • Insight into complex contracts by means of graphical exploration
  • Elegant instrument-building capabilities
  • "What-if" analysis with respect to contract features
  • See the full list of supported financial instruments