More NewsMBRM 2-Factor Interest Rate Volatility Add-in

MBRM 2-Factor Interest Rate Volatility Add-in

MB Risk Management (MBRM) are pleased to announce the launch of a new module in their UNIVERSAL Add-ins range This implements the cutting edge 2-factor ‘Brace-Gatarek-Musiela’ (BGM) model to price and risk manage interest rate derivatives. The system automatically calibrates the BGM interest rate model to any of the traded instruments (e.g. swaptions, caps, floors, collars, corridors, digitals etc), including fitting expected correlations between different parts of the curve. MBRM have been working on this new 2-factor module for the last year and have dedicated a considerable amount of time and resources in ensuring the calibration and pricing are lightning fast.

Related Articles

Infosys Finacle to power Santander UK’s international cash management system

More News Infosys Finacle to power Santander UK’s international cash management system

3w The Global Treasurer
Preparing for GDPR? Here’s four things to consider

More News Preparing for GDPR? Here’s four things to consider

4m Elliott Wiseman
Cash flow in focus for investors

Cash Management Cash flow in focus for investors

5m Conor Deegan
Treasury TV: Karen Pugsley, Domino's Pizza Group

More News Treasury TV: Karen Pugsley, Domino's Pizza Group

5m Victoria Beckett
Treasury TV: Yeng Butler compares US and European MMF reforms

Compliance Treasury TV: Yeng Butler compares US and European MMF reforms

5m Victoria Beckett
Treasury TV: Tim de Knegt, The Port of Rotterdam

10 Minutes With The Treasury Treasury TV: Tim de Knegt, The Port of Rotterdam

5m Victoria Beckett
Banks are selling clients short with short dated cash deposit U-turns

Banking Banks are selling clients short with short dated cash deposit U-turns

5m Victoria Beckett
What does sterling’s Brexit boost mean for UK manufacturers?

More News What does sterling’s Brexit boost mean for UK manufacturers?

6m Tasja Botha