Analytics and Pricing

Pyxis has implemented several closed form, tree based and Monte Carlo based models for IR, FX, Equity & Credit derivatives and is capable of pricing a broad range of vanillas including long-dated or extremely out-of-the money (OTM) contracts as well as exotic and correlation instruments.

Pyxis has experience in model development, extension, validation and testing of calibration approaches. Pyxis has worked with client’s proprietary analytics to develop trading and risk systems around it, analysis of Valuation / Risk parameters. Pyxis is also familiar with various kinds of trading strategies and spreads and understanding of sales and trading process and parties involved

A sampling of the experience in analytics and pricing include–

  • Pyxis Products - RisKompass, Pyxis Portfolio Manager (Ionpot) - Pricing of vanilla & first level exotic Interest Rate and foreign exchange derivatives using proprietary developed analytics.
  • Large Bank: Static hedging replication for long dated barrier option (Derman / Kani , Peter Carr approach)
  • Custom trader solutions development for decision support (e.g. strike adjusted option spreads, specific risk views)
  • Japanese Bank: Development of a Total Return Equity Swap pricing and capture utility
  • Global IB-
    • FX Options Online Trading platform for Investment bank’s institutional clients
    • FX Options pricing application development for traders
    • Prime brokerage trading application, Single leg and Multi-leg options trader on auto dealing or Request for Quote
    • Automated Analytics Testing for Global FX Options Platform

Copyright © 2010 | Pyxis Systems Pvt. Ltd. All Rights Reserved.