Rate Products

Plutus Analytics offers a set of high quality quantitative models and algorithms, such as term structure model, yield curve construction algorithm, derivative pricing models, etc., which enable users to price a variety of interest rate products, e.g. bonds, derivatives, and exotic instruments.

The Plutus Analytics yield curve is constructed from a set of discount rates (less than 1 year maturity) and par yields (greater than 1 year maturity) on a daily basis. Users may choose to use their own rate inputs to construct the yield curve. The Plutus Analytics platform also supports a dual-curve framework that allows users to price interest rate products using alternative discounting, i.e. SOFR discounting. Please contact us for more information.

The Plutus Analytics term structure model is calibrated daily to a set of vanilla interest rate derivatives. Users may also calibrate the term structure model to their own yield curve and interest rate instruments. The Plutus Analytics term structure model is very versatile and can be easily customized to incorporate certain special features that users may need for their term structure model, e.g. stochastic volatility, shifted lognormal volatility, multiple factors, negative rate paths, etc.

At Plutus Analytics, we believe in transparency. Users can go to Model Performance and look up the goodness-of-fit of the term structure model.

Users may call Plutus Analytics models and cash flow engine directly from their own application through API. More information about API can be found here.