| Bonds | pricing_bonds | Fixed, zero-coupon, amortizing and floating-rate bonds (term, overnight and CMS indexes, caps and floors), callable and puttable bonds on short-rate trees, convertible bonds, bond forwards and asset swaps: clean/dirty price, yield, z-spread, option-adjusted spread, durations, convexity, BPS and cash flows. | 7 |
| Credit | pricing_credit | Default-probability curves bootstrapped from CDS spreads or upfronts (or given as hazard rates, survival probabilities or densities), credit default swaps (fair spread, upfront, RPV01, implied hazard, midpoint/ISDA/integral engines), CDS options and bonds priced with default risk. | 4 |
| Yield curves | pricing_curves | Bootstrapped yield curves from deposits, FRAs, futures, swaps, OIS, bonds and basis swaps with every interpolation; curves from zero rates, discount factors, forwards or par yields; evaluation of zero, discount and forward rates; spreaded, implied, composite and ultimate-forward curves; Nelson-Siegel, Svensson, spline and polynomial curves fitted to bond prices. | 5 |
| Dates, calendars and schedules | pricing_dates | Business-day calendars of every market (joint and custom ones), holiday lists, date adjustment and advancing, business-day counts, day count conventions and year fractions, coupon schedules with every date-generation rule, IMM/ASX/ECB dates, CDS maturities and tenor arithmetic. | 4 |
| Inflation | pricing_inflation | Zero-coupon and year-on-year inflation curves from swap quotes or breakevens over published CPI/RPI/HICP fixings with seasonality, projected index levels, zero-coupon / year-on-year / CPI swaps, inflation-linked bonds (TIPS, linkers: real yield, index ratio) and year-on-year caps and floors. | 4 |
| Numerical tools | pricing_math | Interpolation (linear to monotone cubic, Kruger, Fritsch-Butland, parabolic, convex-monotone, Lagrange, Chebyshev, bilinear, bicubic), integration and Gaussian quadrature, probability distributions, statistics and risk measures, matrix decompositions and solvers, pseudo-random and low-discrepancy sequences, Monte Carlo paths of stochastic processes, least-squares fits and historical volatility. | 9 |
| Models and calibration | pricing_models | Heston, Bates, piecewise time-dependent Heston and GJR-GARCH calibrated to option volatilities; Hull-White, Black-Karasinski, G2++, Vasicek, CIR, extended CIR and GSR calibrated to swaption and cap volatilities; zero-coupon bond prices, bond options and short-rate statistics under a short-rate model. | 3 |
| Equity and FX options | pricing_options | Vanilla and exotic options on one or several underlyings: European, American, Bermudan; barrier, double barrier, Asian, lookback, digital, compound, chooser, extensible, forward-start, cliquet, basket, spread, exchange, quanto and swing options; Black-Scholes, Heston, Bates, SABR, CEV, variance gamma, GJR-GARCH and hybrid models; Greeks, implied volatility and closed-form Black/Bachelier tools. | 14 |
| Swaps, FRAs and futures | pricing_swaps | Fixed-float, overnight-indexed (SOFR, ESTR, SONIA …), zero-coupon, multiple-reset, amortizing, basis (float-float, CMS) and cross-currency swaps, FX forwards, FRAs, overnight-index and perpetual futures, and equity total-return swaps: NPV, par rates, spreads, leg values, DV01 and cash flows. | 6 |
| Interest-rate options | pricing_rate_options | Caps, floors and collars; European and Bermudan swaptions (physical or cash settled); Black, shifted Black, Bachelier and short-rate model engines (Hull-White, Black-Karasinski, G2, Vasicek, CIR, GSR, Markov functional); caplet stripping, swaption volatility matrices and SABR cubes; CMS coupons and convexity adjustments. | 5 |
| Interest-rate maths and currencies | pricing_rates | Converting interest rates between simple, compounded and continuous conventions, frequencies and day counts; compound and discount factors; implied rates; currency facts, roundings and conversion through your exchange rates. | 2 |
| Volatility surfaces and smiles | pricing_volatility | Black volatility surfaces, Dupire and fixed local volatility, Andreasen-Huge arbitrage-free interpolation, FX delta-quoted surfaces, Heston-implied surfaces, SABR / SVI / ZABR / Kahale smiles (evaluated or fitted), and risk-neutral densities under Black-Scholes, Heston, local volatility, CEV, square-root and smile models. | 3 |
