Instrument Valuation

PMS can manage/handle a broad range of instruments across multiple asset classes. For each instrument, the possibilities offered in PMS start with modelling and capturing the instrument in the system, extending over several aspects of pricing and evaluation to a multitude of different instrument-tailored features from various fields such as risk management, portfolio management, data management, trading or reporting.

The following models and methods for instruments are available in PMS (extract):

  • Hull White 1-Factor Model
  • Hull White 2-Factor Model
  • Multi-Factor Monte Carlo
  • Finite Difference Methods
  • Libor Market Model
  • Analytical Barrier
  • Analytical Asian
  • Deterministic Methods
  • Cash Flow Discounting
  • Black Scholes
  • Barone Adesi
  • Buehler
  • Quasi Monte Carlo
  • Binomial Tree
  • Trinomial Tree
  • Turnbull Wakeman
  • Kenna-Vorst
  • Longstaff Schwartz
  • JP Morgan CDS Model
  • JP Morgan Unwind Method
  • ISDA Standard CDS Model
  • PSA Prepayment Model
  • Large Homogeneous Pool Model
  • Black
  • PDE Methods
  • Simulated Annealing
  • Garman-Kohlhagen
  • Cox-Ross-Rubinstein (Binomial Model)

For more information, please contact our sales department, phone: +49(0)2 28-9 11 46-0 or email.