The calculations for exotic options have a mechanism in place to check the condition(s) associated with the trade even at arbitrary dates that are not already defined within the portfolio.

This set of dates then triggers a new rate scenario generation and subsequently allows the checking of the conditions around the trade. In an extreme case, this could mean that forward rate scenarios might need to be generated for each path on each day going forward to the maturity of the trades.

Our Monte Carlo is vectorised and optimised to take advantage of symmetric multi-processing. With the new range of dual and quad core processors the speed-ups over scalar code are phenomenal.