Coverage and models
Last updated 10 November 2026
The instruments, risk measures and models behind the Gamma Impact API and GIAnalyzer. Both cover the same instruments with the same models; GIAnalyzer adds functions the API doesn't use.
Gamma Impact API · GIAnalyzer · Browse the function reference
Instrument coverage
Built for books of hundreds to a few thousand OTC positions, with depth where a book that size needs it.
| Asset class | Instruments | Outputs |
|---|---|---|
| Bonds | Zero, fixed and floating coupon, and convertible; amortizing schedules as a table of dates and percentages | Clean and dirty price, accrued interest, yield, Z-spread, carry and roll-down, duration, convexity, DV01, key-rate and bucket measures |
| FX derivatives | Forwards; vanilla, digital, touch, single and double barrier (including KIKO) and Asian options; TARF | Value and value per leg, price, forward points, implied rates, theoretical value and Vanna-Volga, Greeks |
| Interest rate derivatives | FRA, IRS, basis swap, OIS, cap and floor, swaption, TRS; cross-currency swaps in all four leg combinations; amortizing schedules | Value and value per leg, price, duration, convexity, DV01, key-rate DV01, vega, theta |
| Inflation derivatives | Zero-coupon inflation swap and real rate swap, each split into nominal and inflation legs | Value and value per leg, DV01, CPI01 |
| Equity derivatives | European and American vanilla, digital, touch, barrier and Asian options; employee share options | Value, Greeks, implied and extracted volatility |
| Curves and rates | Zero curves fitted from bond prices; currency basis curves from FX forward points; rate and discount-factor curves | Curve fitting, compounding and day-count conversion, discount factors and forward rates, interpolation, expected CPI, year fractions |
Where the depth is
- Custom amortization on each leg, taken as a table of dates and percentages
- Cross-currency swaps in all four leg combinations
- Inflation swaps split into nominal and inflation legs
- FX barriers, KIKO and TARF
- Several valuation methods side by side, on the same inputs
Not covered today: credit and commodity derivatives. Need an instrument that isn't listed? Tell us.
Risk and performance
| Family | Applied to | Outputs |
|---|---|---|
| Sensitivities and scenarios | Every asset class | DV01 and key-rate DV01, Greeks, exposures; scenarios and stress, defined by you |
| Value at Risk | Historical, Monte Carlo and hybrid historical, on equity, FX, bond, inflation or combined portfolios | The VaR and expected shortfall, the breakdown by component, the profit or loss of every scenario, the date behind the VaR scenario, and each risk factor's change on any date and in any scenario |
| Risk measures | One asset, or the spread between two | Volatility, equally weighted or EWMA; percentiles of values and of changes; correlation; beta; tracking error |
| Performance measures | A portfolio against a benchmark and a risk-free rate | Sharpe, Treynor and Sortino ratios; Jensen's alpha; Modigliani measure |
One set of parameters for every measure: return basis, observation interval, overlapping or separate windows, the day that closes the week, periods left out of the estimate, the EWMA decay factor and the annualization factor. Each is visible, so every measure is computed on the same conventions, and each choice can be shown to whoever asks.
Models, named
| Area | Models and methods |
|---|---|
| Options | Black-Scholes; Black-76 with lognormal or normal volatility; binomial trees; Monte Carlo with an explicit seed; Bjerksund-Stensland for American exercise |
| Volatility smile | Vanna-Volga (Wystup) for FX exotics; surfaces quoted in deltas, or as at-the-money, risk reversal and butterfly; swaption volatility cubes |
| Convertible bonds | Tsiveriotis-Fernandes (1998), solved on trees |
| Curves | Nelson-Siegel and Nelson-Siegel-Svensson fitting; linear, log-linear, cubic-spline and exponential interpolation |
| Employee share options | Vesting, with separate pre- and post-vesting exit rates; a user-set early-exercise multiple; strike escalation; price caps; barriers |
| Value at Risk | Historical, Monte Carlo and hybrid historical simulation |
Where more than one method applies, they run side by side on the same inputs, so results can be compared rather than accepted, and the method behind any number can be named. Every function is documented publicly, with a worked example; several show the manual calculation behind the result.
Browse the function reference →
Methodology, area by area
How each instrument is valued and each risk measure computed: the model, the market data it takes, the numerical method, and what the models do not do.