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.