EXOTIC Interest Rate Derivatives Add-ons

MB Risk Management (MBRM) announced the addition of new features to their multi-factor ‘Universal LIBOR Market Model Add-in’ for exotic interest rate derivatives, including: Trigger Dual Knock-In and Knock-Out Swaps, Trigger Inverse Floaters; American and Bermudan options on QUANTO’d Cash Flows; and Enhanced Interest Rate Skew handling for improved accuracy in pricing and hedging out-of-the-money interest rate derivatives.

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