The pricing engine
for EU residential derivatives.
Built for family offices, structured product desks, and capital markets teams pricing European residential property options, futures, and bespoke note payoffs. Underlying: the AVENA-CC index family. Discount curve: ECB MIR-calibrated. Output: HMAC-signed payoff projections suitable for trade booking and counterparty negotiation.
European-style option on AVENA-CC.
POST https://avenaterminal.com/api/v1/options-pricing
Content-Type: application/json
Authorization: Bearer <institutional-key>
{
"underlying": "AVENA-CC",
"type": "call",
"strike": 110.0,
"expiry": "2027-06-30",
"notional_eur": 50000000,
"discount_curve": "ECB_MIR_ES"
}
→ {
"premium_eur": 1842500,
"delta": 0.42,
"vega": 215000,
"implied_vol": 0.182,
"expected_payoff_at_expiry": [...],
"signature": "9c4b2f...",
"methodology_version": "v2026.05"
}Pricing uses a stochastic process calibrated against historical AVENA-CC realised volatility + Vol. 4 forward-cohort priors. Discount curve drawn live from ECB MIR per country. Greeks reported per Black-Scholes-Merton convention with documented departures for property-specific factors (jump risk, liquidity premium, cohort beta).
Four product categories.
European-style calls and puts on AVENA-CC, AVENA-VAL, AVENA-SCR, AVENA-DPT. Strike, expiry, notional configurable. Greeks + implied vol returned.
Forward AVENA-CC settlement for institutional hedging of residential exposure. Spot-forward via ECB MIR curve. Daily mark-to-market via published index closes.
Custom payoff structures — autocallable, capped-floor, knockout — priced via Monte Carlo with AVENA-CC paths and cohort-conditional volatility. Family-office structured product desk-grade.
Stress projection of RMBS tranche payoffs under macroprudential policy shocks, integrated with the Avena Policy Engine. Useful for credit hedging and CDS pricing against EU residential MBS.
Annual subscription includes API access, dedicated quant onboarding, Greeks-by-cohort reporting, and direct line to the Avena research desk that authored the underlying methodology (Vol. 2 + Vol. 3). Custom payoff modelling available under bespoke engagement.