Pricing & Risk Analytics Library

Curve & Surface Construction

Unified modeling and centralized management of interest rate curves, yield curves, and volatility surfaces — standardizing market data from disparate systems into reusable financial engineering objects for consistent use across assets and business lines. A single construction and management layer reduces manual maintenance overhead and ensures the market benchmarks underpinning valuation and risk analysis remain consistent and auditable.

Featured Tutorials & Best Practices:

• FICC Curve and Surface Builder

Valuation & Pricing

Real-time valuation and mark-to-market across bonds, Treasury futures, deposits, interest rate swaps, FX forwards, and FX options — with millisecond-level P&L and NAV updates for intraday risk monitoring and end-of-day valuation. Built-in yield curves and volatility surfaces support Black-Scholes, Hull-White, Heston, Dupire, and proprietary pricing models for structured products and complex derivatives.

A unified multi-asset data model exposes a consistent pricing interface across single trades, structured products, and portfolios — keeping pricing logic auditable and maintainable while reducing system complexity.

Featured Tutorials & Best Practices:

• Pricing Tools: instrumentPricer & portfolioPricer
• Financial Analysis & FICC Tools

Risk Measurement

Cross-asset risk measurement across all instrument types in a single framework — standard sensitivities (Delta, Gamma, Vega) alongside regulatory-grade Bucketed Delta and Bucketed Vega for Basel-compliant interest rate, FX, and derivatives risk management. A unified computation interface aggregates risk outputs into consistent portfolio-level views for daily monitoring, business assessment, and management reporting.