The day count basis is the method used to calculate the accrual factor of year between two dates. This section explains which implementation Sophis Risque/Value provides and how the maturity in years is computed from the start date T₀ and end date T_n. 

The CPPI (constant proportion portfolio insurance) product is a guaranteed product linked to funds or hedge funds. It is one of the different available strategies on hedge funds to protect the investment in full, or a portion of the investment capital, against the falling fluctuations of the hedge fund.

The purpose of this article is to describe the meaning of the spot and forward volatilities, and to design a very simple algorithm that link the both representation.

The goal of this post is to describe the relationship between the forex spot and the forward price.

The Principal Payment per bucket is the sum of principal payments within a bucket. It means that:

PP(]d₁,d₂]) = ∑ PP_i, where:

• PP is the principal payment amount for the bucket ]d₁,d   read more...

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The Outstanding Principal for a given time bucket ]d1,d2] corresponds to the sum of the principal payments falling after the date d2 excluded.

• OP is the Outstanding Principal amount for the bucket ]d₁,dread more...

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The Interest Payment per bucket is the sum of interest payments within a bucket ]d₁,d₂].

IP(]d₁,d₂])  = ∑ IP_i, where:

• IPi are interest payments within ]d₁,   read more...

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On index futures, Sophis Risque only permits the input of the contract size. Thus, the calculated price is related to the contract size, not to the tick value.