Quantitative modeling

The Smart Cube’s Quantitative Research and Modeling experts have delivered in-depth research and analyses to a wide range of clients based on their specific, demanding requirements. A sampling of these analytics is detailed below.

Construction of Yield Curves

Derived spot and forward curves for emerging markets using information from money markets, swaps or forward rate agreements by bootstrapping the securities in ascending order of maturities. The shape of the forward curve facilitates various curve trades.

Pricing OTC Options

Priced various types of over-the-counter options like equity options, index options, FX options, and exotic options. Market data was used to generate a volatility smile curve; this helped price a European style option with a given strike and maturity.

Relative Value Modeling

Derived relative value opportunities between cash bonds spreads and CDS, as well as curve steepener /flattener trades on CDS based on roll down and carry effects.

Pricing Volatility Swap

Pricing of a volatility swap by calculating the realized volatility from the daily price movement till date and the implied volatility from the option data.

Loan Spread Calculator

Built an automated loan spread calculator in VBA to derive the spread on a loan by using Newton Raphson method

Database Updating and Maintenance

Updating and maintenance of a large Collateralized Loan Obligation (CLO) database with all new deals and creation of a monthly report based on collateral type, Over-collateralization and Interest Coverage Tests, sector and geography etc