Link to Windows Application

A Windows application for derivatives pricing, XVAs and risk management. Including CVA, FVA, MVA, multiple curve construction, vanilla swaps, options, swaptions with negative rates, CDSs, and more.

Link to Excel

An Excel add-in with worksheet functions for various analytical calculations, and macros to help interacting with the Windows application.

Link to Machine Learning
Machine Learning in Python

Jupyter notebooks and Keras networks to download, illustrating application of Machine Learning for regression and calibration problems.

Link to White Papers
White Papers

Read our white papers, research results and proceedings.

Link to Forum
Research Forum

A few pages about subjects we are currently interested in and are investigating, with preliminary results, open discussion and comments from readers.

Link to Contact
Contact Us

Contact us for any question, request, comment or feedback.

Latest News

28/02/2021: Released SDev version 1.10: improvements in regressed exposures for resetting notionals

27/04/2019: Preliminary results on training Neural Networks for SABR

13/01/2019: Python-Jupyter notebooks for Machine Learning based regression.

09/09/2018: Released SDev version 1.00: CVA, FVA and MVA.