Derivative Engine
Markets & Treasury
Derivative Engine
Derivative analytics driven by plain-language instructions. Built in-house, so the pricing logic is open to inspection and extension.
What it computes
- IRRBB and interest rate sensitivity across the banking book
- DV01, convexity and the full Greek set
- Option pricing and stress testing across rate, credit and market scenarios
How it is used
- Instructions given in ordinary language rather than through a modelling interface
- A parallel shift, a strike or a tenor stated as a question and answered directly
- Follow-up questions cost the same as the first
Hedging
- Stop-loss, protective put and collar structures priced by the engine
- Each explained in plain language, with trade-offs and residual risk set out
- Runs standalone and underneath the FX engine and the portfolio builder