UnRisk PRICING ENGINE 8.0 released
by MathConsult Contao Admin
On Nov. 20, we have released the UnRisk PRICING ENGINE 8.0.
The key features of UnRisk 8.0 include the valuation of moderately structured fixed income instruments under a multi curve model, and the Bachelier model.
The multicruve model allows to use (in the same currency) different interest rate curves for discounting, e.g., the EONIA curve, and for determining variable cashflows, e.g. Libor3m or Libor 6m.
The Bachelier model for caps, floors, swaptions can replace the Black76 model, when interest rates are low. In Black vs Bachelier revisited, I pointed out the difficulties with Black 76, when interest rates approach zero. In such cases, (Black) volatilties explode, and orders of magnitude of several 1000 percent for Black volatilities are quite common. With the Bachelier model and its data, which may be used as calibration input, negative interest rates may occur without nasty instabilities.
For more information: www.unrisk.com