Mathematical Models
for the Finance Industry

simply closer to the market

Products

FX Options and Interest Rates belong to our core passion. Based on our decades of experience in front-office roles and many consulting projects we have developed our MFVal in-house, which can be integrated into your risk management system.

MFVal – the FX Volatility Surface Library

written in C++, interfacing to excel, python

taking up common brokers’ quotes for ATM, risk reversals and butterflies for standard tenors

interpolating / extrapolating volatilities in both space and time

respecting arbitrage constraints, sufficient smoothness and richness

including calendar features, time-zone/event weighting

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processing the full range of delta and moneyness conventions

Example:
EUR/USD 3-months smile on 31 Oct 2016