Pricing Models

FinIQ quant teams have built pricing and what-if models for valuation of complex structured products, derivatives and fixed income securities. FinIQ also offers a payoff language of its own to support any new financial instruments. Following are a few examples of FinIQ's pre-packaged pricing capabilities:

  • Yield curve construction using deposits, swaps, futures
  • Implied volatility calculation
  • Volatility pricing analytics, business date wise interpolation
  • Pricing for new trades and revaluation of existing trades
  • Greeks computation for FX, EQ and basket trades
  • Generic Monte Carlo based on a choice of flat volatility, local volatility, stochastic volatility
  • Payoff Language to specify structured products with diversity of exercise, callability and optionality clauses
  • Black Scholes, Vanna Volga, Dupire pricing models for FX options
  • What-if simulation on structured trades to estimate potential payout for simulated market scenarios
  • Stress test by subjecting the structured trade to extreme spot and volatility scenario
  • Back solving strike, barrier, coupon, upfront, price and more variables given client specified parameters
  • Bond price, yield and accrual calculations