Analytic Space

Interest rate derivatives pricing models

SciComp’s industry standard equity derivative models include, but are not limited to:

• One-factor and multi-factor short rate models, e.g. Gaussian, CIR, BK.
• Libor Market Models (LMM), lognormal, local and stochastic volatility, SABR
• Swap Market Models (SMM), lognormal, local and stochastic volatility, SABR
• Coupled stochastic short rate + hazard rate models

Interest rate 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.

• FRAs, FRNs, swaps
• European swaptions, caps, floors
• Bermudan swaptions, cancelable notes, caps, floors
• Ratchet caps, floors
• Diff structures
• CMS/CMT notes, swaps, swaptions
• CMS/CMT cancelable notes, swaps, Bermudan swaptions
• Range accrual features
• Risky bonds, bond options
• Snowballs, snowblades, TARNs
• Power Reverse Dual notes, swaps
• Cross currency swaptions
• Other exotic path-dependent structures
• Structured notes