FOREIGN EXCHANGE OPTIONS PRICING AND RISK APPLICATIONS

Abstract

Throughout the internship, the author is exposed to various derivatives pricing and risk applications, which includes FX Spirit, FIRE, and DARE. FX Spirit is an application that comprises a Java client and C++ pricing server. Fire is a modular fixed income derivatives platform providing structuring, pricing, market data, ad-hoc risk and booking capabilities across several asset classes. DARE is a modular framework built on top of RAT which supports parallelization and distributed computing. These three applications will be explained in details in this report. Relevant financial terms will be elaborated as well.