Domain 07 · Derivatives & Pricing
Black-Scholes to Heston.
Every instrument,
precisely priced.
62 functions covering equity, FX, rates and credit derivatives pricing — from analytical Black-Scholes through Monte Carlo and PDE methods to full yield curve construction. Includes QuantLib integration for fixed income and rates models.
62
Functions
6
Categories
FRTB SA
Standard
EMIR SIMM
Compliant
Function library
62 Derivatives functions
Showing all 62 functions
Key capabilities
Built for institutional precision
Stochastic Volatility Suite
Heston, SABR, rough volatility (rBergomi) and local volatility (Dupire) models — all calibrated to implied vol surface via Levenberg-Marquardt. Returns calibrated parameters and model prices.
Full Fixed Income Analytics
Bond pricing, duration (Macaulay, modified, effective), convexity, yield to maturity/call, asset swap spread and Z-spread — powered by QuantLib for industry-standard accuracy.
Yield Curve Construction
Bootstrap from instruments (deposits, FRAs, futures, swaps) using Nelson-Siegel-Svensson or spline interpolation. Multi-curve (OIS, LIBOR fallbacks, SONIA, SOFR).
Regulatory alignment
Standards covered
✓
FRTB — Sensitivity-Based Method (SBM)
Delta, vega and curvature risk charges for options books under FRTB SA. Standardised prescribed scenarios.
✓
EMIR — Initial Margin (SIMM)
ISDA SIMM methodology for uncleared derivatives IM computation. Sensitivity-based, not schedule.
✓
IFRS 9 / IAS 39 — Hedge Accounting
Hedge effectiveness testing (80-125%), prospective and retrospective assessment for designated hedges.
✓
IASB IFRS 13 — Fair Value Measurement
Fair value hierarchy (L1/L2/L3), day-one P&L deferral and valuation uncertainty disclosure.
API example
Derivatives & Pricing endpoint
POST /api/v1/derivatives/option
{
"model": "heston",
"S": 100, "K": 105,
"T": 0.5, "r": 0.05,
"v0": 0.04, "kappa": 2.0,
"theta": 0.04, "sigma": 0.3
}
→ price: 6.842
→ delta: 0.412 vega: 0.187
→ implied_vol: 21.4%
{
"model": "heston",
"S": 100, "K": 105,
"T": 0.5, "r": 0.05,
"v0": 0.04, "kappa": 2.0,
"theta": 0.04, "sigma": 0.3
}
→ price: 6.842
→ delta: 0.412 vega: 0.187
→ implied_vol: 21.4%
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