Institutional-grade derivatives pricing and risk — built in public, free forever. Complex tools made accessible to everyone.
No signup. No installation. No IT approval. Open in any browser.
Price a vanilla interest rate swap, solve for par rate, drag the yield curve and see real-time repricing. USD SOFR · EUR €STR · GBP SONIA.
Interactive Monte Carlo engine — visualise how EE, ENE and EPE exposure profiles emerge from simulated rate paths, and how CVA is derived from those profiles. Hull-White model, 500 paths, Q measure.
Paste your real MC Expected Exposure profile from any risk system. Get the full XVA waterfall — CVA, DVA, FCA, FBA, MVA, KVA — with SA-CCR capital and SIMM MVA. Built for desks with no XVA module.
Full derivatives trading and risk platform. Book IR swaps, view cashflows, run curve scenarios, manage counterparties. Launching soon.
Built by someone who's spent 15 years at the intersection of XVA, CCR, IPV and market risk.
Dense annual grid, frozen spot DF pillar, sequential M-tenor bootstrap. 8dp rate precision. Validated against Bloomberg SWPM.
Drag any tenor point to reshape the yield curve. Gaussian ripple propagates to neighbours. Reprice live. Bear steepener, bull flattener, Fed hike cycles.
IR01, IR01 DISC, Gamma, Theta. Correct separation of discount vs forecast curve sensitivity. DV01/PV01 are not in our vocabulary.
CVA from simulated EE profiles. DVA, FCA, FBA, MVA (SIMM IM funding cost), KVA (Basel III capital). Full waterfall in one tool.
Sensitivity-based IM calculation per SIMM v2.8+2506. Risk weights, correlation matrices, multi-currency aggregation, concentration scaling. Live now via the SIMM IM Estimator ✦.
USD SOFR, EUR €STR, GBP SONIA, JPY TONAR, CHF SARON, AUD AONIA, CAD CORRA. Proper index defaults per currency.
The free tools demonstrate the engine. Selective engagements apply senior derivatives expertise to your specific problem — building the pricer or risk tool you need, validating a structured credit trade, or scoping the model your desk doesn't yet have.
Build the pricer or risk engine you don't have. QuantLib, Python, FastAPI, React. Production-grade code, full test coverage, methodology docs, and a hand-off your team can extend. The kind of work normally only senior dealer quants ship.
Browser-based pricing, scenario, and risk calculators that traders actually use. No IT approval cycle, no install, runs on any desk. Curve drag, vol surface scenarios, Greeks, XVA — built around the way the desk thinks.
Tranche pricing, base correlation calibration, capital relief modeling under CRR Article 245. Independent valuation for SRT, CLN, and synthetic CDO trades. Dealer-side and investor-side.
XVA framework design and validation. CVA/DVA/FVA/MVA/KVA waterfall builds. EE/EPE profile generation. SA-CCR EAD calibration. PFE methodology for credit risk under CRR / Basel III.
SIMM v2.8+ implementation review. CRIF generation and trace validation. SIMM IM as MVA funding cost. Initial margin reconciliation for cleared and uncleared portfolios.
VaR / Expected Shortfall backtesting. FRTB SA and IMA readiness. Vol surface construction — SABR, Bachelier — and risk factor model calibration. Stress and reverse-stress design.
Engagements run Phase 1 (scope, methodology, prototype) followed by optional Phase 2 (build, validation, documentation). Every deliverable is sourced — formulas, calibration data, validation tests — so it survives audit, model risk review, and regulator inquiry.
Reach out directly. Discovery call within one business week.
miko@rijeka.app → or via LinkedIn →Built in public by a 15-year derivatives veteran — XVA, CCR, market risk, valuation control. Free. Forever.