HiI am looking for some derivative pricing packages that are available commercially for use by a small/mid sized financial services firm. Specifically looing for simple IR and FX options pricing, callable swap pricing, range accrual, TARN, etc on IR side, and repo, CDS, CLN and FTD on credit side, exotic options like no touch, accumulator etc on FX sideI think Bloomberg SWPM, OVML and credit functions are good. I've come across FINCAD as well (which has quite a few packages actually). Would be good if someone can list down a few more from their experience along with pros and cons and rough price-rangeAny other advice is greatly appreciatedThanks

Murex is ALSO a pricing package.AlgorithmicsSuperDerivatives

Numerix (+ very easy to use, fast, many APIs - completely black box, not customizable, some bigger known problems )QuantLib ( + free, source code available )

In my user name ... it is white box, extendible, .... not free, but priced for small/medium sized market participants ....

Thank you very much all.I would be glad if you can give me a brief idea, if you may, of the costs of the interest rate and the credit package for 1) Murex 2) Algorithmics3) SuperDerivatives4) Numberix5) QuantLib6) UnriskI am also keen to find out if these systems can price swaps or other structured swap payoffs under non-csa (non-LIBOR discounting) or one way CSAThanks again

How would these software packages interact with the market data application (like Bloomberg, Reuters) for getting the rate curves, rates vol, cds curves, etc that are to be used in the calculation. Is there a preference for any package in this regard?Thanks

QuoteOriginally posted by: dowjones123[br]I am looking for some derivative pricing packages that are available commercially for use by a small/mid sized financial services firm. You can also have a look at OpenGamma. This a a full front/office platform, including full interaction with Bloomberg, Reuters, Activ financial and brokers (like ICAP) for data, with an modern risk analytics library. It is a commercial sotfware but at the same time the main code is open source (Apache 2 license). It is totally transparent and customizable.Disclaimer: I have a personal interest in the company.

It is easy to see that I am biased. And I do not want to use this great forums here for (unpaid) promotion. Paid promotion above So, there are answers to market data imports, to features, ... to licensing and pricing and what have you - there are possibilities to send (private) e-mails ...

Hi,I also know those companies which provide products/solutions in the same spirit as Numerix (sometimes with open access to the source code, sometimes dedicated to more specific problems and instruments) :-Ito33 -Pricing Partners -Zeliade Systems Best regards

QuoteOriginally posted by: dowjones123HiI am looking for some derivative pricing packages that are available commercially for use by a small/mid sized financial services firm. Specifically looing for simple IR and FX options pricing, callable swap pricing, range accrual, TARN, etc on IR side, and repo, CDS, CLN and FTD on credit side, exotic options like no touch, accumulator etc on FX sideThose are simple staff, why not build one by yourself? it's cheaper than buy one, and you have the full access and control.

QuoteOriginally posted by: Joshua2004QuoteOriginally posted by: dowjones123HiI am looking for some derivative pricing packages that are available commercially for use by a small/mid sized financial services firm. Specifically looing for simple IR and FX options pricing, callable swap pricing, range accrual, TARN, etc on IR side, and repo, CDS, CLN and FTD on credit side, exotic options like no touch, accumulator etc on FX sideThose are simple staff, why not build one by yourself? it's cheaper than buy one, and you have the full access and control.Depends how much dowjones123 time is worth!

Derivation is another name that comes to mind.

QuoteOriginally posted by: Joshua2004QuoteOriginally posted by: dowjones123HiI am looking for some derivative pricing packages that are available commercially for use by a small/mid sized financial services firm. Specifically looing for simple IR and FX options pricing, callable swap pricing, range accrual, TARN, etc on IR side, and repo, CDS, CLN and FTD on credit side, exotic options like no touch, accumulator etc on FX sideThose are simple staff, why not build one by yourself? it's cheaper than buy one, and you have the full access and control.In general: Who is able of building, say, systems with some person years work, for, say, a few thousand bucks ... ? Who can - please join us! (I speak here for technology makers and providers - QuantLib is even free)Now, for UnRisk: 2 years ago, we decided to unleash the programming power behind our integrated solutions ... so, creative copiers could now even build a competitive product to our UnRisk FACTORY ... But, because we are nice, we are not stupid - It is attractive for those, who develop for a few and not hundreds of users. It is always .... development-deployment and operational cost ...?!