Rates Quant Modeller

The code library provides valuation, risk, scenario and VaR calculations for a wide range of OTC and listed derivatives as well as cash fixed income products in G10 and emerging markets. The functionality of the library is exposed to clients through is a web based cross-asset Portfolio Management System which provides clients with real time pricing, scenario, risk and P&L on their portfolios as well as the ability to structure and overlay new positions. The underlying analytics have a proven tr…