MBRM - MB Risk Management

UNIVLMM implements the cutting edge multi-factor LIBOR Market Model and "Brace-Gatarek-Musiela" (BGM) model to price and risk manage interest rate derivatives, including multicallable amortizing and accreting Swaptions; Delivery Options in "Cheapest To Deliver" (CTD) Bond Futures; Exotic Interest Rate derivatives such as AutoFlex Caps; Knock-out caps; Reset Caps; Trigger knock-out/knock-in Swaps/inverse floaters; Spread Options; Captions; Options on swaptions; Callable Power Reverse Dual Currency (PRDC) swaps and notes; Callable range accrual dual currency quanto notes; Bermudan Callable CMS spread bonds; Callable Capped FRNs; Target Redemption Notes (TARNs) and FX Target Redemption Notes (FX- TARNs), including Reverse Floating TARNs; Crescentos / Snowballs / Ladders / Lift notes; ladder inverse floaters; Ratchets and Bermudan callable fixed to floater (flip flop), including step-up fixed rates. UNIVLMM allows you to calibrate the LIBOR Market Model's multi-factor interest rate volatility term structure based on individual CAPLET volatilities and/or market quotes for traded instruments (e.g. swaptions, caps and floors), including fitting expected correlations between different parts of the curve. Calibration and pricing are very fast.

The UNIVLMM - Universal LIBOR Market Model Add-in requires UNIVSWAP - Universal Swap Add-in.

Why not consider MBRM Comprehensive Combined Package : An inclusive package of our main software packages (This would be a massive saving on the individual selling price of these packages)

CLICK HERE to see our latest Price List.

Click the thumbnails below for screenshots of our sample spreadsheets:
Caps / Floors / Collars / Corridors Analyser	Moving & Fixed Skew Grids
Implied Swaption Grid (Vols And Prices)	Interest Rate Exotics
Volatilities And Correlation Matrix From Historical Data	Callable Dual Currency Note
Setup Of Volatility And Interest Rate Term Structures	Setup/Display Of Correlation Surface