Practitioners now acknowledge the presence of several yield curves in the market for a given currency and now use different discounting curves to those used to calculate forwards.

The discounting curve is chosen in function of the funding method, usually OIS or 6M Libor. Nitrox consulting models integrates these discrepencies, matching the market's practices.

Nitrox Consulting models take into account currency basis swaps, hence eliminating possible arbitrages between positions in different currencies, a crucial tool for treasurers and multi-national institutions.

Optional derivatives operate along the SABR model which has now become the standard of the market. However the user has the ability to control the model parameters.

Latest News

  • 2015-06-03- Release of
    PubNub Excel
    2015-01-01- Moving East
    To the Philippines
    2013-06-18- Our Demo Risk Management Web Site is live. Check it out at
  • 2012-05-23- Swap
    Cancellation Pricer available
    for Trial, download in
    PRODUCTS/Swap Cancellation.
    2011-09-01- Big Party
    10th anniversary of
    NitroX Consulting
    2011-08-01- 2008 is Back
    Interbank credit confidence
    crisis strikes again