FX / Interest rate/ Commodities Derivatives fair valuation

FX / Interest rate/ Commodities Derivatives fair valuation

For valuing these kind of derivatives, our methodology is simple - we use top-tier global information systems calculators. 

Our efforts depend mainly on the information you provide and its adaptation to the input structure and syntax of those systems. Additional effort required from our perspective can include CVA/DVA value adjustments and/or sensitivity analysis. 

After we understand your needs, we will submit our professional services fee, tailor-made to your specifications. 

The following is a non-binding indication of our fees:

FX Derivatives

• Fair value (for one derivative): 25 USD 

• CVA / DVA value adjustment: 100 USD  

• Sensitivity analysis: 50 USD (free to order over 250 USD)

Bulk upload (FX):

For skilled customers, there is another pathway within which the customer provides us the derivatives information in a specific format and syntax. We bulk upload the file to the system, and return the results “as-is”.

Interest rate derivatives

• FRA (for one derivative): 50 USD

• IRS, Cross-currency SWAP, Cap, Floor, Swaption: 250 USD

• CVA / DVA value adjustment: 100 USD  

• Sensitivity analysis: 50 USD 

Commodities derivatives

SWAP, Asian options: 250 USD (For individual option or swap leg, and not per strategy)

For more information, please contact us.