The SDev library provides a set of tools for derivatives pricing, XVAs and risk management. The library is used by its author for the measurement of Model Risk, and is oriented towards development of alternative models and measures of differences through benchmarking.
The developers are volunteers and release the binaries for free, but will not release the code. They may release some portions of it on a case by case basis and on demand from readers.
The main GUI is a Windows application, but we also provide an Excel add-in with various worksheet functions and macros that interact with the Windows GUI.
- CVA, FVA, and MVA for IRSs, FX options and Bermudan swaptions
- Regression viewer to compare performance of American MC regressions
- Multiple curve construction, collateral discounting, collateral optionality (CTD curves)
- Valuation of Interest Rate Swaps, tenor and cross-currency
- Valuation of FX forwards, options, Cap/Floors, Swaptions
- Implied volatility surfaces and cubes with Displaced Diffusion, SVI, SABR, Normal Mixtures, and term structure models on SVI and SABR
- Portfolio loop pricing
- Scenario pricing (draft)
- More progress on Kernel and Neural Network regression methods
- Extending product coverage for XVAs
- More on MVA methods