Our Financial Engineering Library currently consists of roughly 100 different mathematical models which can be used in Excel as functions, like the typical Microsoft funtions.

We have developed a generic interface to market data vendors such as Reuters, Bloomberg, MarketXS, …. As a result our Pricing & Analysis Module can offer you real time market prices that can be used for Analysis, Real Time Pricing and Decision Support.

The Pricing & Analysis Module supports, among others:

• Options: FX Options, Caps, Floors, Collars, Swaptions, Commodity Options, Tapo’s and Equity Options, inclusive “exotics”.
• Derivatives: FRA, EONIA Swaps, Interest Rate Swaps, Currency Swaps and non-standard Swap types, inclusive a wide variety of “exotics”.
• Finance: Any financing structure, with any convention, with or without embedded derivatives or options (such as for instance Convertible Bonds).
• Financial: a library of functions to measure business performance.
• Zero Coupon Pricers: to price any non-standard financing structure.
• Commodities: Risk management support for precious metals and base metals.
• Yield curve analysis tools: analysis of any Par, Forward and Zero Yield curve for any currency.

We can also help you with the development of specific models, which can be integrated in a software solution. Examples are:

• Monte Carlo Simulation Models
• Models for Inflation Swaps, Weather Swaps, Index Swaps and Real Options
• Models for quantifying the prepayment risk on mortgage portfolio’s
• V@R and CashFlow@Risk reporting