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?

  • $\begingroup$ hello Owe. what is the purpose of a pricer of futures? how does that work? $\endgroup$ – tagoma Apr 1 '12 at 8:54
  • $\begingroup$ 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). $\endgroup$ – Owe Jessen Apr 1 '12 at 19:09
  • $\begingroup$ Surely that should be F=S*exp(rt), i.e. no minus? $\endgroup$ – snth Apr 4 '12 at 8:03
  • $\begingroup$ The danger of working from memory. Indeed we are using discreet returns, and have Price = Spot*(1+r*t) $\endgroup$ – Owe Jessen Apr 4 '12 at 9:20

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