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Analysis in of financial situations using quantitative finance methods.
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Analysis by Marc Henrard

You can find more information about me:

This repository proposes code for analysis of quantitative finance situations.

The models implemented are based on personal research and academic literature as described in each analysis.

Comments and suggestions for improvements are welcomed.

Model behaviour with actual data

  • FRA convexity adjustment in the rational multi-curve two-factor model.
  • Cap/floor implied volatility in the rational multi-curve two-factor model.
  • SONIA futures convexity adjustment. Used in working paper Marc Henrard, Overnight Futures: Convexity Adjustment. February 2018. Available at (
  • IBOR fallback: convexity adjustment for spot rate approach.
  • Calibration of curves with overnight/overnight basis swaps. Impact on delta risk.


  • FRTB: Imaginary capital for some positions. The matrix used as (pseudo-)correlation is not positively defined.

Professional services

The models proposed here are only a small part of the code we have developed or have access to for research and advisory services purposes. Don’t hesitate to contact us if you are interested by other models, require advisory services or are looking for a training around similar models.

Trainings and workshops

We propose in-house training and workshops on subjects related to quantitative finance and risk management.

We offer extensive flexibility on the training organization.

A in-house tailor-made course with our experts presented to your full team often costs less than sending two people to a standard course organized by a large training firm.

Agenda tailored to your needs. Detailed lecture notes. Associated to open source code for practical implementation. Training in English or in French

Some of the popular courses are (course description and typical agendas available through the links):

Some recent public courses:

  • Workshop Multi-curve and collateral framework. One day workshop at The 10th Fixed Income Conference (Barcelona, Spain), September 2014.
  • Collateral, regulation and multi-curve. Belfius Financial Engineering Fund Workshop at KUL/Leuven University (Leuven, Belgium), December 2017.
  • Workshop Interest Rate Modelling in the Multi-curve Framework: Collateral and Regulatory Requirements. LFS Workshop (London, UK), September 2018.
  • Workshop The future of LIBOR: Quantitative perspective on benchmarks, overnight, fallback and regulation. Finans Foreningen workshop (Copenhagen, Denmark), 24 January 2019.
  • Workshop Interest Rate Modelling in the Multi-curve Framework: Collateral and Regulatory Requirements. LFS Workshop (New York, USA), 25-26 March 2019.
  • Workshop Interest Rate Modelling in the Multi-curve Framework: Collateral and Regulatory Requirements. LFS Workshop (Singapore), 3-4 April 2019.
  • Workshop Interest Rate Modelling in the Multi-curve Framework: Collateral and Regulatory Requirements. LFS Workshop (Singapore), April 2019.
  • Planned: The future of LIBOR: Quantitative perspective on benchmarks, transition, fallback and regulation. The 15th Quantitative Finance Conference - WBS (Italy, Rome), 16 October 2019.


  • Developments
    • Multi-curve and collateral framework. Collateral discounting, impact of CSA, multi-curve calibration, new benchmarks, cheapest-to-deliver
    • Interest rate models: Term structure models, smile, negative rates, stochastic spreads.
    • Exchange traded instruments: Development of exchanged traded instruments, detailed term sheet, regulatory approval, CCP's risk management procedures.
    • Margin methodologies: Variation and Initial Margin methodologies design. Review and implementation of methodologies used by CCPs (replication). Bilateral margin methodologies.
    • Simulation: Model implementation for efficient simulation, xVA underlying models
    • Benchmarks: valuation of instruments indexed on new benchmarks, benchmarks discontinuation, LIBOR fallback analysis and solutions, overnight benchmarks (RFR) transition, valuation impacts, risk management, ALM
    • Code: Large quant libraries available to price and risk manage interest rate books
  • Risk management
    • Hedging strategies (design and back testing)
    • Value-at-Risk
    • Variation Margin efficient implementation
    • Initial margin models
  • Model validation
    • Flow instruments: Multi-curve framework, collateral impact, CSA review.
    • Term structure: Multi-factors models; stochastic spreads.
    • VaR: Parametric, historical, Monte Carlo.
    • Smile: Swaption, cap/floor, negative rates, extrapolation.
    • White paper: Independent assessment of new products and services.
  • Regulatory impacts
    • Assessments: Impact assessments for derivative users.
    • Bilateral margins: Quantitative impacts of uncleared margin regulation (UMR), bilateral margin methodologies, ISDA SIMM™ computations.
    • Compression: Exposure reduction, portfolio compression
    • Business strategy: cleared v uncleared OTC derivatives, cost of trading, access to market infrastructure
    • Regulatory consultative documents: Comments on consultative documents.
    • Negotiation: Negotiations for efficient access to markets

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