SigmaField
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SigmaField Derivatives

Curves, pricing and risk to desk conventions. Build curves from your own market data, price trades and read the risk by tenor.

Learn the methods

What it does

From market quotes to a risk report.

  • Curve building

    Discount and forward curves from deposits, futures and swaps, to each market's conventions.

  • Pricing

    Swaps, bonds, FX, options and credit instruments, priced from the curves and surfaces you build.

  • Risk

    Delta and gamma by tenor, vega by expiry and strike, and the risk of a whole book.

  • Scenarios and P&L explain

    Shift curves and surfaces, and see why a book's value changed from one day to the next.

  • Your market data

    Quotes enter as snapshots you produce from your own sources, so you control every input.

  • Exports

    Risk reports and trade lists to Excel and CSV.

The track behind itDerivatives and PricingStochastic Calculus for Finance and Financial Econometrics, then Derivatives Modelling: the methods this workstation runs.See the track →
Open-source engineTenorQuantAn open-source C++20 library for pricing and risk-managing rates, FX, credit, equity and commodity derivatives, compiled to run in your browser.About TenorQuant →