v1.0

HybridMonteCarlo 1.0 Release Note

HybridMonteCarlo 1.0 Release is the initial release of the framework including interest rate, FX, equity and credit simulation.

Models include

• Deterministic model for rates, FX and equity
• Hull White interest rate model
• Quasi Gaussian interest rate model
• Log-normal FX/equity model
• Hybrid composite model
• Credit composite model
• Funding spread composite model

Products include

• Vanilla swaps
• FX swaps and constant notional cross currency swaps
• Bespoke cash flows via payoff scripting