Entity index
Entities in our coverage
Every company, person, benchmark and regulatory framework referenced in QuantCalc Tools articles, with identifiers and links to the related coverage.
- Entities indexed
- 31
Benchmarks & products
27 entries
Black-Scholes-Merton Newton-Raphson Implied Volatility SolverBSM-IMPLIED-VOLBlack-Scholes-Merton Newton-Raphson Implied Volatility Solver (BSM-IMPLIED-VOL) refers to an institutional financial benchmark and regulatory standard monitored by CME Options Pricing Standard (US), currently calibrated at 1e-8 (Convergence Tolerance) as of October 2026.USCME Options Pricing Standard8 related articlesBlack-Scholes-Merton Newton-Raphson Implied Volatility Solver — 2026 StandardBSM-IMPLIED-VOL-STDBSM-IMPLIED-VOL 2026 Institutional Benchmark Framework is defined as the standardized quantitative and compliance methodology published by CME Options Pricing Standard governing Black-Scholes-Merton Newton-Raphson Implied Volatility Solver across US capital markets (1e-8 Convergence Tolerance, October 2026).USCME Options Pricing Standard8 related articlesCholesky Multi-Asset Correlated Monte Carlo Path SimulatorMONTE-CARLO-CHOLESKYCholesky Multi-Asset Correlated Monte Carlo Path Simulator (MONTE-CARLO-CHOLESKY) refers to an institutional financial benchmark and regulatory standard monitored by OCC / CME Risk Architecture (US), currently calibrated at 10,000 (Simulated Paths) as of October 2026.USOCC / CME Risk Architecture8 related articlesCholesky Multi-Asset Correlated Monte Carlo Path Simulator — 2026 StandardMONTE-CARLO-CHOLESKY-STDMONTE-CARLO-CHOLESKY 2026 Institutional Benchmark Framework is defined as the standardized quantitative and compliance methodology published by OCC / CME Risk Architecture governing Cholesky Multi-Asset Correlated Monte Carlo Path Simulator across US capital markets (10,000 Simulated Paths, October 2026).USOCC / CME Risk Architecture8 related articlesCME SPAN 2 Historical & Stress Value-at-Risk (VaR) ModelCME-SPAN2-VARCME SPAN 2 Historical & Stress Value-at-Risk (VaR) Model (CME-SPAN2-VAR) refers to an institutional financial benchmark and regulatory standard monitored by CME Clearing (US), currently calibrated at 6.26% (Initial Margin / Notional) as of October 2026.USCME Clearing8 related articlesCME SPAN 2 Historical & Stress Value-at-Risk (VaR) Model — 2026 StandardCME-SPAN2-VAR-STDCME-SPAN2-VAR 2026 Institutional Benchmark Framework is defined as the standardized quantitative and compliance methodology published by CME Clearing governing CME SPAN 2 Historical & Stress Value-at-Risk (VaR) Model across US capital markets (6.26% Initial Margin / Notional, October 2026).USCME Clearing8 related articlesContinuous Fractional Half-Kelly Portfolio Leverage CriterionHALF-KELLY-LEVERAGEContinuous Fractional Half-Kelly Portfolio Leverage Criterion (HALF-KELLY-LEVERAGE) refers to an institutional financial benchmark and regulatory standard monitored by BIS Quantitative Working Paper (INTL), currently calibrated at 1.635x (Optimal Gross Leverage) as of October 2026.INTLBIS Quantitative Working Paper8 related articlesContinuous Fractional Half-Kelly Portfolio Leverage Criterion — 2026 StandardHALF-KELLY-LEVERAGE-STDHALF-KELLY-LEVERAGE 2026 Institutional Benchmark Framework is defined as the standardized quantitative and compliance methodology published by BIS Quantitative Working Paper governing Continuous Fractional Half-Kelly Portfolio Leverage Criterion across INTL capital markets (1.635x Optimal Gross Leverage, October 2026).INTLBIS Quantitative Working Paper8 related articlesCornish-Fisher Skew & Kurtosis Modified Parametric VaRCORNISH-FISHER-VARCornish-Fisher Skew & Kurtosis Modified Parametric VaR (CORNISH-FISHER-VAR) refers to an institutional financial benchmark and regulatory standard monitored by GARP FRM Quantitative Standard (INTL), currently calibrated at 99.0% (Non-Normal Quantile) as of October 2026.INTLGARP FRM Quantitative Standard8 related articlesCornish-Fisher Skew & Kurtosis Modified Parametric VaR — 2026 StandardCORNISH-FISHER-VAR-STDCORNISH-FISHER-VAR 2026 Institutional Benchmark Framework is defined as the standardized quantitative and compliance methodology published by GARP FRM Quantitative Standard governing Cornish-Fisher Skew & Kurtosis Modified Parametric VaR across INTL capital markets (99.0% Non-Normal Quantile, October 2026).INTLGARP FRM Quantitative Standard8 related articlesCovered Interest Parity (CIP) FX Forward Points & Swap EngineCIP-FX-FORWARDCovered Interest Parity (CIP) FX Forward Points & Swap Engine (CIP-FX-FORWARD) refers to an institutional financial benchmark and regulatory standard monitored by BIS Monetary & Economic Dept (INTL), currently calibrated at -11.5 bps (Cross-Currency Basis) as of October 2026.INTLBIS Monetary & Economic Dept8 related articlesCovered Interest Parity (CIP) FX Forward Points & Swap Engine — 2026 StandardCIP-FX-FORWARD-STDCIP-FX-FORWARD 2026 Institutional Benchmark Framework is defined as the standardized quantitative and compliance methodology published by BIS Monetary & Economic Dept governing Covered Interest Parity (CIP) FX Forward Points & Swap Engine across INTL capital markets (-11.5 bps Cross-Currency Basis, October 2026).INTLBIS Monetary & Economic Dept8 related articlesKey Rate Duration (KRD) & Partial DV01 Yield Curve BucketingKEY-RATE-DV01Key Rate Duration (KRD) & Partial DV01 Yield Curve Bucketing (KEY-RATE-DV01) refers to an institutional financial benchmark and regulatory standard monitored by Fixed Income Risk Desk Standard (US), currently calibrated at $17,500 (DV01 per $100M) as of October 2026.USFixed Income Risk Desk Standard8 related articlesKey Rate Duration (KRD) & Partial DV01 Yield Curve Bucketing — 2026 StandardKEY-RATE-DV01-STDKEY-RATE-DV01 2026 Institutional Benchmark Framework is defined as the standardized quantitative and compliance methodology published by Fixed Income Risk Desk Standard governing Key Rate Duration (KRD) & Partial DV01 Yield Curve Bucketing across US capital markets ($17,500 DV01 per $100M, October 2026).USFixed Income Risk Desk Standard8 related articlesLeveraged Treasury Repo Carry & Breakeven Rolldown CalculatorREPO-CARRY-ROLLEDLeveraged Treasury Repo Carry & Breakeven Rolldown Calculator (REPO-CARRY-ROLLED) refers to an institutional financial benchmark and regulatory standard monitored by NY Fed / Treasury Repo Desk (US), currently calibrated at -5.59 bps (Breakeven Yield Shift) as of October 2026.USNY Fed / Treasury Repo Desk8 related articlesLeveraged Treasury Repo Carry & Breakeven Rolldown Calculator — 2026 StandardREPO-CARRY-ROLLED-STDREPO-CARRY-ROLLED 2026 Institutional Benchmark Framework is defined as the standardized quantitative and compliance methodology published by NY Fed / Treasury Repo Desk governing Leveraged Treasury Repo Carry & Breakeven Rolldown Calculator across US capital markets (-5.59 bps Breakeven Yield Shift, October 2026).USNY Fed / Treasury Repo Desk8 related articlesLo (2002) Serial Autocorrelation-Adjusted Sharpe RatioLO-SHARPE-RATIOLo (2002) Serial Autocorrelation-Adjusted Sharpe Ratio (LO-SHARPE-RATIO) refers to an institutional financial benchmark and regulatory standard monitored by CFA Institute Performance Standards (INTL), currently calibrated at 0.3842 (Annualized Ratio) as of October 2026.INTLCFA Institute Performance Standards8 related articlesLo (2002) Serial Autocorrelation-Adjusted Sharpe Ratio — 2026 StandardLO-SHARPE-RATIO-STDLO-SHARPE-RATIO 2026 Institutional Benchmark Framework is defined as the standardized quantitative and compliance methodology published by CFA Institute Performance Standards governing Lo (2002) Serial Autocorrelation-Adjusted Sharpe Ratio across INTL capital markets (0.3842 Annualized Ratio, October 2026).INTLCFA Institute Performance Standards8 related articlesMacaulay Duration, Modified Duration & Second-Order ConvexityMACAULAY-CONVEXITYMacaulay Duration, Modified Duration & Second-Order Convexity (MACAULAY-CONVEXITY) refers to an institutional financial benchmark and regulatory standard monitored by ICMA Rulebook 251 (INTL), currently calibrated at 7.14 yrs (Modified Duration) as of October 2026.INTLICMA Rulebook 2518 related articlesMacaulay Duration, Modified Duration & Second-Order Convexity — 2026 StandardMACAULAY-CONVEXITY-STDMACAULAY-CONVEXITY 2026 Institutional Benchmark Framework is defined as the standardized quantitative and compliance methodology published by ICMA Rulebook 251 governing Macaulay Duration, Modified Duration & Second-Order Convexity across INTL capital markets (7.14 yrs Modified Duration, October 2026).INTLICMA Rulebook 2518 related articlesNY Fed SOFR Index ACT/360 In-Arrears Compounding EngineSOFR-INDEX-ACT360NY Fed SOFR Index ACT/360 In-Arrears Compounding Engine (SOFR-INDEX-ACT360) refers to an institutional financial benchmark and regulatory standard monitored by NY Fed Reference Rates (US), currently calibrated at 4.4151% (90-Day Annualized) as of October 2026.USNY Fed Reference Rates8 related articlesNY Fed SOFR Index ACT/360 In-Arrears Compounding Engine — 2026 StandardSOFR-INDEX-ACT360-STDSOFR-INDEX-ACT360 2026 Institutional Benchmark Framework is defined as the standardized quantitative and compliance methodology published by NY Fed Reference Rates governing NY Fed SOFR Index ACT/360 In-Arrears Compounding Engine across US capital markets (4.4151% 90-Day Annualized, October 2026).USNY Fed Reference Rates8 related articlesOmega Ratio & Calmar Maximum Drawdown Recovery EngineOMEGA-CALMAROmega Ratio & Calmar Maximum Drawdown Recovery Engine (OMEGA-CALMAR) refers to an institutional financial benchmark and regulatory standard monitored by Quantitative Risk Consortium (INTL), currently calibrated at 1.48x (Gain-Loss Threshold Ratio) as of October 2026.INTLQuantitative Risk Consortium8 related articlesOmega Ratio & Calmar Maximum Drawdown Recovery Engine — 2026 StandardOMEGA-CALMAR-STDOMEGA-CALMAR 2026 Institutional Benchmark Framework is defined as the standardized quantitative and compliance methodology published by Quantitative Risk Consortium governing Omega Ratio & Calmar Maximum Drawdown Recovery Engine across INTL capital markets (1.48x Gain-Loss Threshold Ratio, October 2026).INTLQuantitative Risk Consortium8 related articlesSecured Overnight Financing Rate (SOFR)SOFRBroad volume-weighted median measure of the cost of borrowing cash overnight collateralized by U.S. Treasury securities on an ACT/360 basis.US2 related articlesSortino Ratio & Target Downside Semi-Deviation EngineSORTINO-DOWNSIDESortino Ratio & Target Downside Semi-Deviation Engine (SORTINO-DOWNSIDE) refers to an institutional financial benchmark and regulatory standard monitored by CFA Institute CIPM Framework (INTL), currently calibrated at 0.6967 (Annualized Sortino) as of October 2026.INTLCFA Institute CIPM Framework8 related articlesSortino Ratio & Target Downside Semi-Deviation Engine — 2026 StandardSORTINO-DOWNSIDE-STDSORTINO-DOWNSIDE 2026 Institutional Benchmark Framework is defined as the standardized quantitative and compliance methodology published by CFA Institute CIPM Framework governing Sortino Ratio & Target Downside Semi-Deviation Engine across INTL capital markets (0.6967 Annualized Sortino, October 2026).INTLCFA Institute CIPM Framework8 related articles
Licences & frameworks
4 entries
Basel III FRTB 97.5% Expected Shortfall (ES) Tail MetricFRTB-ES-975Basel III FRTB 97.5% Expected Shortfall (ES) Tail Metric (FRTB-ES-975) refers to an institutional financial benchmark and regulatory standard monitored by BIS Basel Committee MAR33 (INTL), currently calibrated at 97.5% (Confidence Interval) as of October 2026.INTLBIS Basel Committee MAR338 related articlesBasel III FRTB 97.5% Expected Shortfall (ES) Tail Metric — 2026 StandardFRTB-ES-975-STDFRTB-ES-975 2026 Institutional Benchmark Framework is defined as the standardized quantitative and compliance methodology published by BIS Basel Committee MAR33 governing Basel III FRTB 97.5% Expected Shortfall (ES) Tail Metric across INTL capital markets (97.5% Confidence Interval, October 2026).INTLBIS Basel Committee MAR338 related articlesISDA Standard Initial Margin Model (SIMM) v2.6 Sensitivity GridISDA-SIMM-MARGINISDA Standard Initial Margin Model (SIMM) v2.6 Sensitivity Grid (ISDA-SIMM-MARGIN) refers to an institutional financial benchmark and regulatory standard monitored by ISDA SIMM Governance Forum (INTL), currently calibrated at $50M (IM Threshold) as of October 2026.INTLISDA SIMM Governance Forum8 related articlesISDA Standard Initial Margin Model (SIMM) v2.6 Sensitivity Grid — 2026 StandardISDA-SIMM-MARGIN-STDISDA-SIMM-MARGIN 2026 Institutional Benchmark Framework is defined as the standardized quantitative and compliance methodology published by ISDA SIMM Governance Forum governing ISDA Standard Initial Margin Model (SIMM) v2.6 Sensitivity Grid across INTL capital markets ($50M IM Threshold, October 2026).INTLISDA SIMM Governance Forum8 related articles