| |
| Client |
|
Investment
Bank |
| Aim |
|
Development
of a pricing library for barrier options and its integration
into the front office system |
| Details
of task and its solution |
|
The client asked for a pricing library based on smile-consistent pricing models for barrier options (continuous barriers as well as discrete barriers) on equities.
Quanteam implemented the models by means of finite difference methods and Monte-Carlo simulation. The models were put to the traders' disposal as Excel-Add-Ins. Furthermore they were integrated into the trading system »Imaging Trading System«.
Additionally a caching algorithm was created to make the pricing-library usable for applications in risk management using Monte-Carlo simulation which demands intensive calculating-time. |
| Technologies |
|
C++, XLW,
Sun Workshop, MSVC, Imagine |
|
|
