Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. Join them; it only takes a minute:

Sign up
Here's how it works:
  1. Anybody can ask a question
  2. Anybody can answer
  3. The best answers are voted up and rise to the top

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?

share|improve this question
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

Your Answer


By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.