This software provides a comprehensive interest derivatives pricing framework by covering set contracts, models for vol/price/interest, as well as running Monte Carlo simulations. It supports COM, .NET, and XML web services and features Treasury management, yield pricing, zero curves, fixed-interest bonds, and more.
I recently had the opportunity to review the Interest Derivatives Pricing Framework, which is a powerful pricing software for financial instruments. This software offers a comprehensive set of features for pricing interest derivatives, including treasury bonds, zero curve, fixed-interest bonds, forward rates, FRAs, and more.
One of the main benefits of this software is its flexible 3-in-1 approach, supporting .NET, COM, and XML web services. The software is composed of three DLLs and API docs, making it easy to integrate with a variety of technologies.
The General Pricing Framework features several predefined models and contracts, including Asian Option, Binary Option, Cap, Coupon Bond, Floor, and more. Additionally, users can easily set various interest rate models, including Constant Spot Rate, Constant (in time) Yield curve, and One or Two-factor stochastic models. It also offers different volatility models such as constant volatility, stochastic volatility, and deterministic volatility models.
One of the standout features of this software is the Monte Carlo Pricing Engine, which provides many options to customize the pricing process. Users can set a fixed number of iterations or a maximum expected error to evaluate a price estimate. It calculates the minimum/maximum expected price for a given confidence level and also evaluates the standard deviation of the price estimate.
The software also includes an ADO mediator and extensive client examples in popular programming languages, including C#, VB, C++, and more. Compatibility with multiple containers, including Visual Studio, Office, C++Builder, and Delphi makes this software accessible to a wide range of users.
Overall, the Interest Derivatives Pricing Framework offers an excellent solution for those in the finance or banking sector. The software is intuitive, comprehensive, and feature-rich, making it an excellent choice for pricing complex financial products.
One of the main benefits of this software is its flexible 3-in-1 approach, supporting .NET, COM, and XML web services. The software is composed of three DLLs and API docs, making it easy to integrate with a variety of technologies.
The General Pricing Framework features several predefined models and contracts, including Asian Option, Binary Option, Cap, Coupon Bond, Floor, and more. Additionally, users can easily set various interest rate models, including Constant Spot Rate, Constant (in time) Yield curve, and One or Two-factor stochastic models. It also offers different volatility models such as constant volatility, stochastic volatility, and deterministic volatility models.
One of the standout features of this software is the Monte Carlo Pricing Engine, which provides many options to customize the pricing process. Users can set a fixed number of iterations or a maximum expected error to evaluate a price estimate. It calculates the minimum/maximum expected price for a given confidence level and also evaluates the standard deviation of the price estimate.
The software also includes an ADO mediator and extensive client examples in popular programming languages, including C#, VB, C++, and more. Compatibility with multiple containers, including Visual Studio, Office, C++Builder, and Delphi makes this software accessible to a wide range of users.
Overall, the Interest Derivatives Pricing Framework offers an excellent solution for those in the finance or banking sector. The software is intuitive, comprehensive, and feature-rich, making it an excellent choice for pricing complex financial products.
What's New
Version 2: N/A