ANALYTIC SPACE PRICING AND CALIBRATION MODELS
The Analytic Space Basic Pricing & Calibration Models is a suite of pre-implemented derivatives pricing and calibration models organized by asset class. End Users may elect to license Analytic Space Basic Pricing & Calibration Models as part of Analytic Space.
Customers seeking to expand their pricing and calibration model functionality may do so with SciComp. SciComp provides two alternative modeling solutions; SciFinance, an in-house technology that facilitates the development of derivatives pricing models and SciComp Consulting, a skilled and professional quantitative development team that provides expert, cost-effective consulting services for both industry standard or custom derivatives pricing and calibration models.
Pre-implemeted pricing and calibration models available with Analytic Space
Commodity/Energy
- European/American Option (PDE)
- Two-factor Schwartz Calibrator
Credit
- CDS (Analytic)
- CDS Calibrator (Implied Hazard Rate)
- Defaultable Bond (Analytic)
Cross Currency
- Cross Currency Swap
- Cross Currency Option
- Cross Currency Barrier Option
Equity
- European Option (BlackScholes Analytic)
- American Option (BlackScholes PDE)
- European Option (Heston Analytic)
- Heston Calibrator
Interest Rate
- Swap (Analytic)
- Cap/Floor (Analytic G1 Model)
- Swaption (Analytic G1 Model)
- One Factor Gaussian Calibrator
FX
- European Option (BlackScholes Analytic)
- American Option (BlackScholes PDE)
- Double NoTouch (Heston PDE)
- Heston Calibrator
Convertible Bonds
Universal Convertible Bond Pricing Model is a ready-to-use solution for valuing a broad range of convertible bonds.