Mathematical Models for the Finance Industry

simply closer to the market

Products

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

i

processing the full range of delta and moneyness conventions

Example:
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?

MIRCL – the Interest Rate Curve Library

written in C++, interfacing to excel, python

taking up common brokers’ quotes for key IR instruments (FRAs / Vanilla Swaps / Basis Swaps / OIS)

interpolating rates for different maturities and tenors

building smooth curves while controlling 'local' behavior of Greeks

including calendar features, schedule composition

i

processing wide range of standard market conventions