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Markets
Derivity products cover many financial market sectors. Derivity Analytics provides pricing functionality as highlighted here.
In addition, the RateShare application is of use in all these areas, indeed it will be of benefit to any organisation that shares data.
Interest Rate Derivatives
- User-configurable zero coupon curve builder
- Pricing and valuation of vanilla and structured swaps
- Vanilla and Structured cap and floor pricing
- FRA pricing
- Swap Option pricing
Foreign Exchange and Money Markets
- Pricing of straight, broken date and forward/forward FX swaps
- Cross currency calculations
- Deposits
- FX Outrights
- Interest arbitrage
- Long dated FX arbitrage from 1 to 10 years
- Forwards From Futures
FX Options
- Pricing of vanilla and exotic options and strategies.
- Calculates premium, greeks and implied volatility.
Equity Options
- Calculates premium, greeks and implied volatility.
- Uses a variety of dividend treatments.