Everix.Pricing
One pricer plugin, please.
You don’t need to buy expensive library and struggle with interfacing when you just need a couple of exotic pricers quickly.
Price complex and exotic payoffs (IR, EQ, FX, CO): Bermudan, Range Accrual, Multi-callable Spread Barrier and more à la carte.
Order only the pricers you need
There are complex and expensive pricing libraries, and you don’t always need all the models.
Our goal is to provide you with a point-by-point pricing solution to complement your existing pricing coverage or extend vanilla scope to more exotic deals.
Pricing at a Glance
Market Standard Models
- Hull-White, Gaussian Model, G2++
- G2++ multi-underlying
- Smile: Vanna-Volga, Heston
- Black-Scholes, Garman-Kohlhagen
Pricing Techiques
We cover various pricing techniques suitable for each particular case:
- Monte-Carlo
- American MC -Longstaff-Schwartz, Tsitsiklis & Van Roy
- Trinomial Tree
- Moment matching
- Numerical Integration
- Closed formula
Models Calibration and Correlation
We take great care in calibration and correlation for different pricing scenarios:
- Deal-specific
- Global: portfolio level
- Bootstrap
- Bespoke Algorithms
What We Price
Coverage
- Multi-asset class
- Large set of payoffs
- Bermudan Swaption
- Range Accrual
- Spread Barriers CMS, FX
- Basket/Correlation Products
- BOR/OIS/CSA discounting
Add Your Payoffs
Something not standard?
If you have some special needs contact our experts and we add your case. Or use Everix API to code your own pricing model by yourself or with our quants.
Integrate Easily
Front-Office Integration
- Predefined and minimal trade and market data JSON representation
- Pricing can happen on the Front-Office side
- Or on Everix Pricing Server side by request
Use case on Summit MUST
Pricing API
- Market Data and Trades representation
- Entry point: Risk Factors
- Send market data
- Price: any type of pricer
This allows pricers to be called in sensitivites, VaR and other scenarios launched from the Front Office
Interoperability
- From FO System
- From Excel
- From Python
- Predefined and minimal trade and market data JSON representation
Run Fast
Performant implementation
- Parallelisation
- Distributed execution
- Compatible with VAR
More details is always better!
Contact us to know more about our pricing offers, models and how we can help you with your challenges.
