A Complete Quant Stack

Our Product Suite

Core Analytics

Super-fast and robust pricing of European and American vanillas, with accurate handling of cash dividends.

Stable, arbitrage-free volatility surfaces even in the far wings, even on one box.

Fast, easy-to-use, and flexible. Use in a real-time fitter or manage it by hand.

Use greeks or scenarios to analysis your PnL for vanilla and vol derivatives.

Fast pricing of variance and volatility swaps (capped or uncapped), options on var and vol, and corridor and conditional variance.

VIX future valuation based on SPX and VIX vol surfaces.

Use the SPX option market data to fit the implied discount curve.

Implies cash dividends consistent with option prices.

Calibrate the additional “event variance” associated with events.

Decompose a dirty vol surface into "event jumps" and a "clean" vol surface.

Handle all FX-specific conventions for delta type, premium type, and ATM/risk-reversal/butterfly definitions.