In the financial world, structured interest rate products become more and more exotic. Additionally, the number of data to be processed is growing. Hence, we are looking for more powerful solutions in order to valuate these products.
As a solution to meet these requirements the Department of Financial Mathematics has developed the Structured Note Pricer (SNP).
Currently used valuation tools often come along with a complex input and often the user has to provide this input manually for complex products. This results in a time-consuming valuation when considering big data sets. Futhermore, a manual input is fault-prone and should always be double-checked.