Volmaster FX payoff scripting tool
This feature allows each organization to create, price and manage custom instruments. Instruments can also be created by Volmaster, on demand, and pushed to selected users. Our patented technology allows quants to easily and quickly define new instruments in a controlled environment. Instruments can be edited by defining their properties and variables and scripting their validation rules and payoff description. Such description is not provided in terms of an obscure language, but rather in the user-friendly syntax of Microsoft Visual Basic (vb.net), a high-level object-oriented language pertaining to the powerful .net framework. The code is not interpreted, but rather truly compiled and parsed on-the-fly, for maximum performance, including seamless parallelization on multiple threads.
Our technology provides a seamless way to expand the capabilities and the product range of the platform, while enforcing consistency in the pricing and revaluation of new instruments. Complexities are handled by the platform, leaving users to focus on business matters.
Some of the outstanding features of our technology include:
- Automatic handling of single and double barriers continuous observation
- Automatic handling of fixings observations
- Enforced consistency of pricing modes and antomatic change-of-numeraire
- Scaling of input parameters
- Strong validation of inputs and error reporting
- Definition of custom enumerators
- Management of holder choices, callability features and non-european styles
- Automatic calibration on SLV and SLV+J pricing models
- Solver capabilities
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Please contact us for further information about Volmaster FX technology: info@volmaster.com