Taking advantage of HPCiD's excellent parallel computing performance, D&I developed its own set of derivatives pricing models, adopted a client risk framework and model governance, and implemented them in Python, C++ or C#. How all pricing models work is fully transparent and easy to audit. Models covered by the D&I Model Library include but are not limited to:
Our model covered includes:
1. 1- and 2- factor Hull-White model;
2. Cross Currency Hull-White model;
3. Single currency and cross currency Libor Market Model;
4. Black-Scholes-Merton model;
5. Bachelier model;
6. Equity local volatility model, a.k.a Dupire model;
7. FX local volatility model;
8. Heston model;
9. SABR smile interpolation.
10. Deterministic hazard rate model.
Our product coverage includes:
1. All linear rates, fx products;
2. First generation FX and Equity products, e.g. barriers and touches;
3. Sophisticated interest rates exotics like Bermudan, Callable Range Accrual;
4. Popular in Asia FX structures like TARN variants, Accumulators, Pivots;
5. Popular equity structures like Accumulators, Basket options with memories.
We can adopt customer risk framework and model governance, and implement in Python, C++, or C#. Our work is fully transparent and easily auditable.
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