Fixed Income

We offer quantitative and qualitative research solutions, services and comprehensive coverage of variety of fixed income products. Our fixed income related services are greatly enhanced from in-house build comprehensive library of market-standard models and related to them proprietary numerical methods.

Supported Products

  • Bonds
    • Callable/Putable Bond
    • Callable/Quanto Reverse/Inverse Floater
  • Exotics
    • Callable Snowball/Snowbear/Snowblade/Thunderball
  • Notes
    • Callable Flip–Flop
    • Callable Range Accrual Note with Step-Up coupons/ranges
    • Callable TARN Note
    • FX TARN Note
    • Power Reverse Dual-Currency (PRDC) Note
    • Quanto CMS Inverse Floater Note
  • Options
    • Callable CMS Spread Note/Swap Quanto
    • CMS Swaption
    • Cross-Currency Basis Swaption
    • Differential Swaption
    • Digital/Callable/Quanto Floor/Cap on Libor/CMS
    • Dual-Currency CMS Spread Cap/Floor
    • Index Amortizing Swaption
    • Knock-Out Swaption
    • Lookback Option
    • Quanto/Chooser Auto/Flexi/Limit Cap/Floor
    • Quanto Swaption
    • Vanilla Swaption
  • Swaps
    • Callable Range Accrual Swap with Step-Up coupons/ranges
    • Callable TARN Swap
    • CMS Swap
    • Cross-Currency Basis Swap
    • Differential Swap
    • FX TARN Swap
    • Index Amortizing Swap
    • Knock-Out Swap
    • Power Reverse Dual-Currency (PRDC) Swap
    • Quanto CMS Inverse Floater Swap
    • Quanto Index Swap
    • Vanilla Swap

Models and Methods

  • Deterministic (Zero Volatility) Model
  • Black Model
  • Hull-White (Single/Multi-Factor) Model
  • Black-Karasinski (BK) Model
  • Shifted BK
  • BK 2-Factor Model with Skew
  • LIBOR Market Model (LMM)
  • Shifted LMM
  • Stochastic Volatility LMM
  • N-currency LMM
  • Multi-Currency Models with HW/BK models for IR components and BS/Heston models for FX
  • Longstaff-Schwartz Method
  • Analytic/Lattice/PDE/Trinomial Trees/Monte Carlo Simulation
  • Various yield curve bootstrapping techniques with variety of interpolation methods: linear, cubic spline (FritschButland, parabolic, Kruger, Akima) and variety of smoothing algorithms (Nelson-Siegel etc).