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Bewertungsbibliothek MoCo

Die MoCo ist eine flexible C++-Bibliothek zur Bewertung komplexer, strukturierter Finanzprodukte, die auf eine mittlerweile fünfzehnjährige Entwicklungszeit zurückblickt. Durch den täglichen Projekteinsatz erprobt eignet sie sich in besonderer Weise für das schnelle Nachstellen von Bewertungsmodellen und neuartiger Produktvarianten. Sie wird regelmäßig im Rahmen von Modellvalidierungen gegen den Markt gebenchmarkt und ständig weiterentwickelt. MoCo dient auch als Rechenkern für die Bewertungsbibliothek MoCA und ist überdies bei vielen Kunden von d-fine als Rechenkern im täglichen produktiven Einsatz.

 

Die MoCo zeichnet sich aus durch:

  • ein stringentes objekt-orientiertes Design
  • konsistente Fehlerbehandlung
  • Möglichkeiten zum Loggen aller Funktionsaufrufe
  • Multi-threading-Fähigkeit
  • Trennung von Markdaten, Produkten und Modellen
  • zahlreiche, automatisierte Schnittstellen zu C++, Excel, VBA, Java, Python, .Net und XML

Ausschnitt aus der Liste unterstützter Produkte

Name Category
American Options Commodities
Calendar Options Commodities
Commodity Swap Commodities
European Options Commodities
Futures Commodities
Asian Options Commodities
Cross Commodity Spread Options Commodities
Barrier Options on Commodity Baskets Commodities
Swing Options Commodities
Real Options (Power Generation Assets) Commodities
Digital Options Commodities
Quanto Options Commodities
ABS Credit
Callable Floater Credit
CDO Credit
CDS Credit
CLN Credit
CMBS Credit
First-to-Default Swap Credit
MBS Credit
nth-to-Default Swap Credit
Single Tranche CDO Credit
Accreeting Equity Performance (w funding) Equity/FX
Accreting Equity Performance Equity/FX
American Options Equity/FX
Asian Equity Performance (w funding) Equity/FX
Asian Quanto Equity/FX
Barrier Equity/FX
Basket Digital Equity/FX
Basket Option Equity/FX
Best Of Basket Equity/FX
Callable Barrier Basket Option Equity/FX
Catch Option Equity/FX
Digital Equity/FX
Equity Forward Equity/FX
European Options Equity/FX
Fixed FX Rate Equity Option Equity/FX
Foreign Equity Option Equity/FX
Foward Start Asian Quanto Equity/FX
Multi Period Basket Option Equity/FX
Product Option Equity/FX
Quanto Option Equity/FX
Reverse Repo Equity/FX
Run Time Option Equity/FX
Spread Option Equity/FX
Surf Option Equity/FX
Time Window Asian Equity/FX
Time Window Asian Future Option Equity/FX
Time Window Barrier Equity/FX
Trigger Basket Option Equity/FX
Trigger Option Equity/FX
Worst of Basket Equity/FX
FX Swap FX
Callable FX Floater Hybrid
Equity Linked Note Hybrid
FX Target Hybrid
Inflation Swap Inflation
Year-On-Year-Infaltion Swap Inflation
Basis Swap Interest Rate
Bermudan Swaption Interest Rate
Bermudan Zero Swaption Interest Rate
Bond Future Interest Rate
Bond Option Interest Rate
Callable Ladder Cap Interest Rate
Callable Range Multi-Index Interest Rate
Callable Acreeting Swap Interest Rate
Callable CMS Spread Interest Rate
Callable CMS Spread Capped/Floored Interest Rate
Callable CMS Spread Capped/Floored Interest Rate
Callable CMS Spread Ladder Interest Rate
Callable CMS Spread Ladder Interest Rate
Callable Defaultable Bond Interest Rate
Callable Digital Interest Rate
Callable Ladder Interest Rate
Callable Range Interest Rate
Callable Reverse Accreting Swap Interest Rate
Callable Reverse Floater Interest Rate
Callable Zero Bond/Swap Interest Rate
Callable Zero Digital Interest Rate
Cap/Floor Interest Rate
CC Basis Swap Interest Rate
CMS Bond/Swap Interest Rate
CMS Cap Interest Rate
CMS Floater Interest Rate
CMS Forward Vola Interest Rate
CMS Spread Digital Interest Rate
CMS Spread Option Interest Rate
CMS Spread Range Interest Rate
CMS Spread Target Interest Rate
CMS Spread Wedding Cake Interest Rate
CMS Swaption Interest Rate
CMS Vola Interest Rate
Deposit Interest Rate
Digital CMS Spread Ladder Interest Rate
Fixed Rate Swap/Bond Interest Rate
Floater Interest Rate
FRA Interest Rate
FRB EUR First Interest Rate
Irregular European Swaption Interest Rate
Ladder Target Interest Rate
Lift Swap Interest Rate
Quanto CMS Interest Rate
Quanto CMS Spread Interest Rate
Quanto CMS Spread Digital Target Interest Rate
Reverse Repo Interest Rate
Step Up Swap Interest Rate
Swap Interest Rate
Swaption Interest Rate
Zero Bond/Swap Interest Rate
Zero Swaption Interest Rate