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Fitter
Curves
PnL Explanation
Vol Derivatives
VIX Pricer
Discount Curve Fitter
Div Fitter
Event Var Fitter
Event Modeling
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Can Your Fitter Do This?
Next Generation Curves
AEX around Brexit
AMZN around earnings
SPX during the 2020 COVID Crash
Asian Indices
Commodity Futures Options
Treasury Futures Options
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Products
Pricer
Fitter
Curves
PnL Explanation
Vol Derivatives
VIX Pricer
Discount Curve Fitter
Div Fitter
Event Var Fitter
Event Modeling
FX Module
Examples
Can Your Fitter Do This?
Next Generation Curves
AEX around Brexit
AMZN around earnings
SPX during the 2020 COVID Crash
Asian Indices
Commodity Futures Options
Treasury Futures Options
Testimonials
Team
Media
Careers
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Pricer
Fitter
Curves
PnL Explanation
Vol Derivatives
VIX Pricer
Discount Curve Fitter
Div Fitter
Event Var Fitter
Event Modeling
FX Module
VIX Pricer
VIX future valuation based on SPX and VIX vol surfaces.
Calculation of VIX futures hedge ratios with respect to SPX, consistent with assumptions for SPX spot-vol dynamics, e.g. SPX-equivalent delta and vega.
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