Excel derivative valuation tools (quantitative finance)

Estimated duration: not set
Description: Quant developer needed for initial project which may grow into more frequent development requirements. The initial project is to provide an Excel tool to price vanilla interest rate swaps and Bermudan swaptions. The tool would need to be capable of automatic calibration to market observable caps and swaptions (depending on model) and swaps, as available in Bloomberg, and would likely be either Hull-White or Black Karasinski. The tool also needs to provide the risk neutral likelihood of each individual option being exercised, as well as the standard risks (delta and vega). It would be preferable if the tool also had the flexibility to accept the specific notional profile and option dates explicitly as inputs, as well as allow discounting off an adjusted curve or OIS. The tool should accommodate a variety of market standard payment conventions and profiles. The tool should be capable of being used by individuals with only a limited knowledge of the underlying models. The project will lead naturally onto other more exotic products, for example callable range accruals, callable inverse floaters and CMS linked trades. There is also the possibility that these will need to be migrated from Excel to a more robust platform. It is critical that the tools are either standalone or linked to an open source library such as Quantlib.