Resolver One Quant is an advanced tool for calibrating and pricing portfolios of complex derivative products. Its large database of structured products and models allows traders to get started straight away, and quants can easily and quickly add new products with the powerful Python programming language.

Based on the Resolver One spreadsheet engine and Zeliade Systems' outstanding analytics, it works out of the box on computers where the Bloomberg desktop is installed. A flexible mapping system allows Resolver One Quant to connect to in-house reference data or trade databases.

Product Coverage

Credit

Bonds, Loans
CDS, CDO, NTD

Equities

Vanilla and Exotic options
Forward-starts, Cliquets
First generation exotics
Variance swaps
Equity Default Swaps

Fixed Income

Vanilla
Exotics: Range Accrual, CMS,..

FX

Forward-starts, Cliquets
Vanilla, First generation exotics

Inflation

Zero Coupon Swaps
Year on Year Swaps
Cap & Floors

Resolver One Quant for Equities

Calibration models

Heston model
Hagan-Woodward model (parametric implied vol)
Gatheral SVI model (parametric implied vol)

Covered products

Vanilla (calls and puts)
American and Bermudan calls and puts
Generalized Ratchets
Knockout, reverse knockout, knockin, reverse knockin options
Variance Swaps
Quants can easily add additional products by describing their payoff structure in the Python language.

Pricers

Last generation semi-analytical formulae for the Heston model
An advanced Longstaff-Schwarz type generic Monte Carlo Bermuda algorithm