Derivatives pricing, priced correctly
A pricing and risk engine, exposed over REST and gRPC. Vanilla through autocallables, thirteen model families, full Greeks, portfolio VaR and XVA — each pricer implementing a published method, and named against it.
Instruments
Vanilla, barrier, Asian, lookback, binary, spread, variance swap, autocallable, convertible bond, IR swap, cap/floor, CDS, inflation.
Models
Black-Scholes, Bachelier, Heston, SABR, Merton, Bates, Dupire, Hull-White, CIR, Vasicek, LMM, G2++, Jarrow-Yildirim.
Pricers
Analytical, Monte Carlo including Longstaff-Schwartz, finite difference, binomial and trinomial trees, and FFT.
Risk
Full Greeks, portfolio VaR, stress testing, hedge optimisation, and XVA across CVA, DVA, FVA and KVA.
Contract DSL
Composable algebraic contracts with a serialisable spec layer, so a custom payoff is data rather than a code change.
Evidence you can check
DerivFabric is designed so a pricing result can be checked, reproduced and challenged. The model, pricer, conventions and evidence status are recorded with the calculation rather than described only in marketing copy.
Validation status is deliberately specific. A production-ready capability has evidence behind the exact use case being priced. A research or experimental capability is labelled as such, with limits visible before it is used.
The full matrix is available behind sign-in and during pilot scoping. It is the right place to answer detailed coverage questions because it can show status, dependencies and limitations against the trade family a buyer actually wants to test.