Benefit from the latest models and algorithms for pricing derivatives
Sophis' quantitative research teams ensure that our solutions deliver the latest developments in terms of pricing algorithms and instrument coverage.
Every product managed in RISQUE includes a fully developed pricing method, which is breakable and customisable at each level of the pricing chain. This enables investment banks to benefit from Sophis' expertise to benchmark their own model and limit their cost and operational risk by developing only specific parts of the pricer.
Key Benefits
Market data calibration- Yield curve from a wide range of products to handle constraints of limited rate information market (emerging market, basis spread)
- Several volatility models including Delta/term (Forex market) and stochastic volatility
- Full management of taxation and rebate information for dividends
- Arbitrage of the underlying price fully handled to calculate the theoretical price related to the hedge strategy
- TRS have in PV and in accrued pricing methods
- Bonds have clean, dirty, marked to market, etc.
- FX option can be vanna adjusted, including upfront in theoretical value
- Huge variety of features to customise pay-off including Asian, averaging, barriers, Parisian barriers, Bermudan expiry, callable, etc. priced using an optimised Monte-Carlo simulator
- Exotic and multi-underlying pay-off generator called structure builder
- Types of delivery and impacts on pay-off
- Calculation of cancellation fees or upfront value for contract unwinding
- Dynamic allocation of pricing models according to list of criteria to match business line requirement
- Dynamic allocation of market data/yield curve per desk
Learn more about our asset class coverage
