Seeking Standard Validation Cases for Multi-Asset Pricing Engines

Summary

The document raises a validation question from a team developing pricing engines for market risk in a Solvency II solution. The instruments named include bonds, callable bonds, credit default swaps, options, and futures. The central issue is whether canonical test cases exist that such pricing engines should be able to solve.

It does not describe a particular pricing method, propose test cases, or report results from engine validation. Its contribution is to identify a practical testing need across instruments and a regulatory risk context. Because the question supplies no details about model assumptions, market data, implementation choices, or expected tolerances, it cannot establish which benchmark cases are appropriate. Readers would need those specifics to turn the question into a reproducible validation plan.

Key ideas

• The proposed pricing engines support market risk calculations in a Solvency II solution.
• The instruments mentioned span bonds, callable bonds, credit default swaps, options, and futures.
• The document asks whether canonical test cases can validate these engines.
• It gives no benchmarks, model assumptions, or validation results.

Tags

# Are there canonical test cases for testing of pricing engines


# Are there canonical test cases for testing of pricing engines












Short intro: We are developing pricing engines for the calculation of market risk in a Solvency II solution, including bonds, callable bonds, cds, options, futures and so on. Are there any canonical test cases which the engines have to solve?

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.