Mathematical Models for the Finance Industry
simply closer to the market
FX Options and Interest Rates belong to our core passion. Based on our decades of experience in front-office roles and many consulting projects we have developed our MFVal and MIRCL in-house, which can be integrated into your risk management system.
MFVal – the FX Volatility Surface Library
written in C++, interfacing to excel, python
taking up common brokers’ quotes for ATM, risk reversals and butterflies for standard tenors
interpolating /extrapolating volatilities in both space and time
respecting arbitrage constraints, sufficient smoothness and richness
including calendar features, time-zone/event weighting
processing the full range of delta and moneyness conventions
EUR/USD 3-months smile on 31 Oct 2016
MIRCL – MathFinance Interest Rate Calculation library
MIRCL - The Interest Rate Curve Library
Looking for the accurate Discount Curve configurable to the individual risk-profile (Funding/CSA discounting)?
Need the Forward Rates Surface consistent with the quoted market rates?
Want to quickly price Bonds, CDs, FRAs, Swaps and other linear products?
Collateral in different currencies? Utilize FX information efficiently (FX/Cross-Currency Basis Swaps)?
Looking for accurate risk computation and PnL attribution?