Nitrox consulting products are Pricing and Risk Management tools for Vanilla and Exotic Interest Rate Derivatives (swaps OIS, Libor and Inflation, cap/floors, collars, straddles, strangles, digitals, bermudians or cancellable swaps).

They take the form of ready-made templates based on Excel add-ins written in C++. Hence they allow the pricing and hedging of standard products, vanilla or exotics, but they also offer tailor-made (packages) solutions adapted to the more complex goals.

A specific package is dedicated to Interest Rate Derivative Brokers, it builds a volatility surface and a smile model based on SABR, allowing to price vanilla option products very accurately, but also liquid exotic products.
Another package is available for Inflation Cap, Floor and Swaption; it contains a calibration algorithm to build the volatility cube from market prices. s
A last one for short term interest rate, where FRAs are very well priced, taking into account the central bank meeting dates.Graph of EUR Forwards sample.

They can be fed by real time data such as Bloomberg or broker pages.

Unlike many competitioners, the software is fully transparent and the user is fully aware and controls its assumptions and integrates perfectly the effect of currency swaps, basis swaps between different underlyings and smile effects.

It can be connected to an existing database and performance is as high as to allow the valuation of 20,000 trades in less than a second.

Xll Functions Documentation example

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