Pricing and valuing derivatives has become a thornier problem as the product spectrum has widened. The obvious solution, a library of product-specific analytics, faces a challenge of its own – namely, how to keep up with new modelling insights or structuring tweaks.
Some vendors have made their name by being nimble, while others have offered structuring tools with varying degrees of power. In 2006, Vancouver-based Fincad – which has offered an analytics library since the early 1990s – decided to
The week on Risk.net, December 2–8, 2017Receive this by email