HybridMonteCarlo 1.0 Release Note
HybridMonteCarlo 1.0 Release is the initial release of the framework including interest rate, FX, equity and credit simulation.
Models include
- Deterministic model for rates, FX and equity
- Hull White interest rate model
- Quasi Gaussian interest rate model
- Log-normal FX/equity model
- Hybrid composite model
- Credit composite model
- Funding spread composite model
Products include
- Vanilla swaps
- FX swaps and constant notional cross currency swaps
- Bespoke cash flows via payoff scripting