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Product Core Module

Product Core Module contains libraries the implement Fixed Income Analytics, Loan Analytics, and Transaction Cost Analytics.

Component Libraries

  • Fixed Income Analytics => Valuation and Risk Functionality of the Principal Asset Classes, i.e., Equity, Rates, Credit, FX, Commodity, and their Hybrids.

  • Loan Analytics => Valuation and Risk Functionality for Asset Backed and Mortgage Backed Securities.

  • Transaction Cost Analytics => Functionality to estimate single Trade/Portfolio Execution Cost, and corresponding Optimal Trajectories.

Fixed Income Analytics Coverage

  • Association and Exchanges
  • Date Conventions
  • Overnight and IBOR Like Indexes
  • Over-the-Counter Instruments
  • Exchange Traded Instruments
  • Treasury Futures Trading and Hedging
  • Identification of the CTF in the Basket
  • Valuation of the Treasury Futures Contract
  • Curve Builder Features
  • Curve Construction Methodology
  • Curve Construction Formulation
  • Stream Based Calibration
  • Spanning Splines
  • Monotone Decreasing Splines
  • Hagan West (2006) Smoothness Preserving Spanning Spline
  • Extrapolation in Curve Construction
  • Multi-Pass Curve Construction
  • Transition Spline (or Stitching Spline)
  • Penalizing Exact/Closeness of Fit and Curvature Penalty
  • Index/Tenor Basis Swaps
  • Multi-Stretch Merged Curve Construction
  • Latent State Manifest Measure Sensitivity
  • OIS Valuation and Curve Construction
  • Spline Based Credit Curve Calibration
  • Correlated Multi-Curve Buildout
  • Cross Currency Basis Swap
  • Convexity Correction Associated with Margining
  • Hedging Considerations
  • Product Curve Effect Attribution
  • Inference Based Curve Construction
  • Credit Analytics Bond RV Calculation Methodology
  • Stochastic Calculus
  • Black Scholes Methodology
  • Log Normal Black Scholes Greeks
  • Black Scholes Extensions
  • Options on Forward
  • Stochastic Volatility Models: The Heston Model
  • Dynamical Latent State Calibration
  • HJM Model
  • Hull White Model
  • Market Model of Interest Rate Dynamics
  • The BGM Model
  • Application of BGM to Derivatives Pricing
  • The SABR Model
  • LMM Calibration and Greeks Overview
  • LMM Extensions Overview and Literature
  • Algorithmic Differentiation
  • Algorithmic Differentiation - Basics
  • Sensitivity Generation During Curve Construction
  • Stochastic Entity Evolution
  • Formulation of Sensitivities for Pay-off Functions
  • Bermudan Swap Option Sensitivities
  • Basket Sensitivities
  • Leibnitz Integral Rule

Loan Analytics Coverage

  • The Distribution of Loan Portfolio Value
  • Vasicek Model Default Risk Simulation
  • Market Place Lending Credit Model Methodology

Transaction Cost Analytics Analytics Coverage

  • Execution Cost and Transaction Trajectories
  • Execution of Portfolio Transactions - Optimal Trajectory
  • Non Linear Impact and Trading Enhanced Risk
  • Market Impact Function/Parameters Estimation
  • Optimal Execution of Program Trades
  • Bayesian Trading with a Daily Trend
  • Cost Adaptive Arrival Price Trading
  • Mean Variance Optimal Adaptive Execution
  • Optimal Trading in a Dynamic Market
  • Systemic Market Making SKU

DROP Specifications