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Multi-factor: The factors can be defined parametrically (1, 2, 4-factor), or obtained from Principal Components Analysis.
Diffusion Dynamics: Log-Normal, Normal, CEV with user-specified CEV exponent with proper risk-neutral drift correction to ensure consistency with initial forward curve.
User-specified parameters: Number of paths, random or fixed seed.
Variable-length discretization: Both the forward curve and the simulation dates can be discretized arbitrarily, with advanced analytics ensuring consistency regardless of discretization. This allows the user to choose the simulation dates either at deal-level or book-level, and discretize the forward curve so that the important dates (year-end turns) are not lost during discretization.
Fast, vectorized simulation: On a 400Mhz/128MB PC, a 2-factor, 1,000-path, 30y simulation of a 30y forward curve takes 10 seconds.
Vol Grid Calibration: Fast, advanced analytic calibration allows the user to calibrate the forward-forward vol grid to any combination of exchange-traded options (options on futures, mid-curve options), cap/floors (forward or spot-start), and swaptions. A typical 20-instrument (6 futures' options, 7 caps, 7 swaptions) calibration takes 20 seconds on a 400Mhz/128MB PC.
For more information on HJM versus BGM issues, refer to HJM versus BGM/J: Why all the confusion?
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