RESHAPE: drag surface to deform. SABR refits live. Hit REPRICE to see ΔP&L.
β=0 NORMAL SABR — CALIBRATED PARAMS
Rijeka open-source derivatives risk platform.
Surface calibrated to live market ATM + OTM swaption vol quotes using β=0 Normal SABR.
Repricing: Bachelier (normal) model · Physical settlement.
⚠ Vol and rates don't move in isolation — a parallel vol shift also changes
delta-hedging requirements, XVA EE profile, and SIMM IM.
Joint rate + vol scenario engine: production launch.
rijeka.app · Open source · MIT License