Iris AG adds customisable options pricing to riskpro

IRIS AG announced today the release of a fully customizable option pricing routine.

  0 Be the first to comment

External

This content is provided by an external author without editing by Finextra. It expresses the views and opinions of the author.

This new capability is an extension of the integrated financial analysis infrastructure riskpro.

The main benefit of the option pricing function for the user is that he can evaluate and analyze almost any kind of option contract. The user has total control: he defines the pay-off function for the option, its exercise type (from simple European to exotic American or Bermudan style) and adds any kind of values to be monitored over time. The underlying contract can be pure notional, physical or a basket. The pricing model is based on the LIBOR market model using Monte Carlo simulation and the Longstaff-Schwartz method. A powerful graphical interface makes it easy and intuitive to operate.

"According to the feedback we are getting from our clients this is one of the most powerful option pricing routines currently available", stated Dr. Juerg Winter, CEO, IRIS AG.

Sponsored [Impact Study] Why DevSecOps is Key to Navigating Innovation and Compliance

Comments: (0)

[Webinar] Conducting the payments orchestra: Why IT will drive future transaction banking modelsFinextra Promoted[On-Demand Webinar] Conducting the payments orchestra: Why IT will drive future transaction banking models