Derivative Solutions

Pricing Model and Instrument Coverage

Instrument coverage in F3 is virtually unlimited. F3 separates the description of trades and portfolios from the construction of the financial models, as well as from the valuation method employed. This separation of concepts is what allows F3's trade description to remain completely generic, allowing you to represent any trade or financial structure.

For Assets
  • Black-Scholes (Lognormal) Model
  • CEV Model
  • Shifted Lognormal Model
  • Normal Model (Bachelier)
  • Heston Model
  • SABR Model
  • Vol Surface Construction (FX, EQ)
  • Local Stochastic Volatility Model
  • Dupire Local Volatility Model
For Rates
  • Black Model (rates)
  • Normal Model (rates)
  • Single & Multifactor Hull-White (HW)
  • Libor Market Model (Standard LMM)
  • SABR Model (rates)
  • LMM Calibration - cascade; parametric
  • Swaption Vol Cube Construction
Technologies
  • Multiple calculation methods (independent of Model):
    - Closed Form
    - Monte Carlo
    - Backwards evolution (induction) for price processes
    - Characteristic function/FFT
  • Meta-model design; asset-specific models applied automatically
  • Generic calibration engine
  • Payoff replication technology(eg. Variance Swaps)
  • Generic early exercise (callable/cancellable)
  • Multi-rate curve building
  • Ubiquitous time-dependency
  • Hybrid modelling: price and/or rate processes
  • Automatic Numeraire Corrections

Sample Instruments

Fixed Income
  • Fixed Rate (Coupon Step-up/Step-down)
  • Floating Rate Notes (FRNs)
  • Discount Bonds
  • Sovereign & Sovereign Guarantee
  • Repos
  • Money Markets (FRAs, Discount Securities, Interest at Maturity)
  • Domestic (Government, Agency)
  • Sov. Owned/Support
  • State & Municipal
  • Local (Government, Authority)
  • Supranational
  • Insured
  • Major G8 Fixed coupon bonds
  • Eurobonds
  • Convertible Bonds
Rates
  • Vanilla IR swap
  • Basis Swap
  • OIS Instruments
  • CMS in arrears
  • Caps & Floors
  • Inflation Bonds & Swaps
  • Swaptions (Bermudan/European, cash/physical settlement)
  • Index Swap
  • Range Accrual Swap
  • Amortizing/accreting swaps
  • Cross-Currency IR Swap
  • Asset Swap
  • Deliverable Swap Futures
FX/Equities/Commodities
  • Forwards/Futures
  • Swaps
    • Equity Linked swap
    • FX swap
    • Commodity swap
    • Variance/Volatility swap
  • Options & Exotics
    • European/American/Bermudan exercise
    • Averaging (Arithmetic, Geometric)
    • Asian (Underlying, Strike)
    • Barriers (Knock-in/out, Single, Double, etc.)
    • Digitals (Single Barrier, Double Barrier, No Touch)
    • Best of & Worst Of
    • Choosers (Vanilla & Exotic)
    • Lookbacks (Strike, Fixed Strike or Range)
    • Cliquets (Global & Local)
    • Quantos
    • Compound
    • Forward Starting
    • Multi-Currency Basket
    • Commodity futures basket
    • Accumulators
Credit
  • Credit Default Swap (CDS)
  • Constant Maturity CDS
  • Credit Linked Notes
  • Options on CDS Indexes
  • Credit Default Swaption
  • Total Return Swap
  • CDS Indexes
  • Asset Swap

Since F3 gives you the ability to represent the terms of any deal, instrument coverage is virtually unlimited.