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Short intro: We are developing pricing engines for the calculation of market risk in a Solvency II solution, including bonds, callable bonds, cds, options, futures and so on. Are there any canonical test cases which the engines have to solve?

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hello Owe. what is the purpose of a pricer of futures? how does that work? –  edouard Apr 1 '12 at 8:54
In Solvency II you have to consider the effect of interest rate changes on every price, so we take the usual formula Future = Spot * exp(-rt). –  Owe Jessen Apr 1 '12 at 19:09
Surely that should be F=S*exp(rt), i.e. no minus? –  snth Apr 4 '12 at 8:03
The danger of working from memory. Indeed we are using discreet returns, and have Price = Spot*(1+r*t) –  Owe Jessen Apr 4 '12 at 9:20

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