Cross Currency Derivatives
Cross currency derivatives pricing models
SciComp’s industry standard equity derivative models include, but are not limited to:
- Coupled single-factor and multi-factor short rate models
- Lognormal and local FX volatility + coupled short rates
- Stochastic volatility and stochastic local volatility models + coupled short rates
Cross currency derivatives contract types
The partial, representative list below only hints at the infinite variety of contract features available with SciComp solutions. With SciFinance, customers can edit the provided specifications to adjust payoffs, add new path dependencies and define a limitless array of exotic contract features. SciFinance users can also write specifications from scratch to develop completely customized models. SciComp Consulting customers can request any equity derivative model features they wish.
- Cross currency swaps, swaptions
- Foreign caps, floors
- Basket caps, floors
- Multi-currency digitals
- Diff swaps