Advances in computing including a rapidly increasing computer performance have a strong impact on financial modeling. Meanwhile, a huge amount of financial data is available, together with a large processing power to analyse it.
Processing power also permits the simulation of very complex models, which opens new roads for solving our clients' problems. Advances in algorithms (such as evolutionary computation or genetic programming), implemented in pricing engines, allow the financial institutions to analyse data more efficiently than ever and to apply it to areas such as the pricing of highly complex derivative instruments.
Therefore, in the analysis of financial derivatives, pricing engines that combine speed with precision have to be designed. Sophisticated numerical programming tools and numerical schemes for solving related partial and stochastic differential equations provide an extremely reliable, ready-built solution that offers both flexibility and the necessary speed for its use.
Algorithms should be available which run faster than tree-based methods and improve the mapping of critical numbers such as dividend days, coupon days, and barriers - yet with the same precision. Moreover, utilities should be included, enabling bootstrapping and running of calibration algorithms.
Our pricing engines satisfy all those features. They cover a wide variety of equity and interest rate derivatives. Instruments that are not covered can be added quickly and easily by our clients or by us. In our pricing engines, contract features such as early exercise, discrete dividends, callable/puttable interest instruments, rounding rules for floating payments, and in-arrears structures are fully supported, as well as specific details like for instance differing day-count and business-day conventions, and compounding frequencies.
With the Volatility Interpolation Tool VIP Benoist & Company offers a software that is used in pricing as well as trading. From realtime option prices, VIP generates arbitrage-free price- and vol-surfaces. In contrast to other volaltilty inter- and extrapolation routines that use financially unmotivated linear or spline interpolation, VIP considers all no-arbitrage conditions from financial mathematics. Especially, our arbitrage-free vol surfaces are free of temporary market effects as they can occur e.g. because of illiquid options. Particularly for long and short maturities pricing based on the extrapolated volatilities is much more stable.
We offer a very flexible environment for configuration and customization of financial products, instruments and portfolios. Embedded calculation tools with an open system architecture insure that our pricing engines can be quickly integrated into your existing and future IT architecture.
All of the functionality of our pricing engines can be called by Microsoft Excel. Hence it can also value and stress test large books. The Excel interface also allows the import of current data into your system.