FINCAD Derivatives Articles
Have you missed a few FINCAD newsletters? Click on the links below to take a look at the technical articles written by FINCAD over the past 5 years. These informative articles provide details on the math behind the functions available in FINCAD products and shows tips on how to use some of the workbook solutions. Our latest articles have provided technical information on capped variance swaps, modeling assumptions behind the ISDA CDS model and more details about counterparty credit exposure for swaps.
For developers using FINCAD Analytics Suite for Developers or an older SDK version, review articles on how to get more out of your software. Topics include software engineering best practices, converting dates, working with Visual Studio 2005 Add-in and more!
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2012
- Portfolio Risk in F3
- How to Value a Variable Annuity Using F3 Technology
- Hedge Accounting Treatment for FX or Commodity Options – A Technical Overview
2011
2010
- From "aa" to "fc": An Introduction to the New Style of Functions Available in FINCAD Analytics Suite for Developers
- F3 Technology
- Building a Portfolio Workbook
2009
- Capped Variance Swaps
- Modeling Assumptions behind the ISDA CDS Standard Model
- Counterparty Credit Exposure for Swaps
- Manage Smile Risk with the SABR Model of Stochastic Volatility
- Monte Carlo Simulation
- Pricing Power Reverse Dual Currency Notes
- Why Don't My Numbers Match?
- FINCAD Confirms that Version 7 and 8 of FINCAD XL and FINCAD Developer are now Sunset Products
- Mastering Master Curves
2008
- Sub-Prime And The Credit Crunch
- Next Generation Variance Derivatives
- Creating a Prototype to Automate the Valuation of a Portfolio of Single Name CDS Contracts - a FINCAD Professional Services Consulting Engagement
- How to Build a Workbook to Value a Total Return Swap on a Floating Rate Loan
- Software Engineering Best Practices – Continuous Integration
- Pricing Brazilian Instruments - Bonds, Inflation and Swaps
- Valuation of Variance and Volatility Swaps
- Perform Sensitivity Analysis With FINCAD's Key Rate Risk Analysis Workbook
- Combining A FINCAD User Data Workbook With a Bloomberg Finance LP-enabled Swap Curve Workbook
- How To Convert Between Serial Dates and Java™ Dates
2007
- Calibrating financial models using differential evolution
- The Heston Model of Stochastic Volatility: Fast Option Pricing and Accurate Calibration
- Pricing of Automatic Redemption Instruments with FINCAD Introduction
- Usability Enhancements in FINCAD XL Version 11
- New Visual Studio 2005 Add-in is available in FINCAD Developer v11
- Pricing option strategies with FINCAD
- Diagnose Input Errors
- Best Practices for VBA Coding
- Pricing Convertible Bonds
- Pricing floating rate notes (FRNs) with multiple payments per reset period
- Best practices for prototyping using Microsoft Excel
- Deconstructing the Normal Swaption Model
- Valuing Equity Linked Instruments (ELI) with FINCAD
- What's New in FINCAD Analytics v10
2006
- Pricing a Callable CMS Spread Note with FINCAD XL v10
- Pricing Brazilian Swaps with FINCAD XL v10
- Calculating CDOs with the Recursion Method
- New C++ interface is available in FINCAD Developer v10
- Pushing the Limits of Local Volatility in Option Pricing
- Inflation Derivatives: A Bird's Eye View
- Building Portfolios using FINCAD functions
- Valuing FX Quanto Basket Options with FINCAD
- Run FINCAD Developer on a Digipede Grid
- Excerpt from the 2006 Annual Report on Software for Financial Engineering and Risk Management
- CDOs and the Search for Simplicity: Speeding up the valuation of Synthetic CDOs using a grouped recursion method
- Valuing Freight Options with FINCAD XL
- Comparing Employee Stock Options with Standard European and American Options
- How Grid Computing May Improve Systems' Performance
- Charles River Chooses FINCAD® Analytics
- How to Value Snowballs Using FINCAD®XL Version 9
- How to Value Synthetic Collateralized Debt Obligations (CDOs)
- Specifying Cycling Dates and Stub Periods in FINCAD® XL
- Using FINCAD® Developer with Maple Software
- Why You Don't Want to Miss Out
2005
- Revisiting "The Art and Science of Curve Building"
- Keeping Up With Credit in FINCAD® XL Version 9
- Using FINCAD® XL CDO Tranche Workbook
- How to Value Employee Stock Options Using FINCAD® XL Version 9
- Error Checking with FINCAD's Function Wizard
- Taming the Emerging Market Curve
- Creating Synthetic Callable Debt Using Swaptions
- Pricing Callable Range Accrual Swaps
- Calibrating Models
- Code Optimization and Testing in Visual C++
- Valuing Asset Swaps and Asset Swap Spreads
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