Webinar Q & A

Q. Where can I access detailed documentation on the Counterparty Credit Risk?

A. All documentation is included within the products demonstrated. Please download a trial version of the software and launch the Analytics Finder. Locate the function aaCE_SwapPort_dgen. The math reference will be displayed in the window below.

Q. Can FINCAD calculate maximum potential future exposure for a derivatives portfolio?

A. FINCAD can calculate the potential future exposure for a portfolio of vanilla and/or amortizing swaps.

Q. Can FINCAD calculate sensitivities of instruments?

A. FINCAD can calculate the sensitivity for any input that is used in pricing the instrument. This is either done directly by the function and the output can be viewed or the user can bump any input parameter, revalue their position and compare with the original value. We also offer a sensitivity analysis tool within the Workbook Utilities section which allows the user to vary one or two input parameters and assess how these changes affect any output parameter. This utility tool also outputs a graph of results for visual analysis

Q. Is there a way to calculate counterparty credit risk without using the FINCAD Analytics suite 2009 product, I am currently using FINCAD XL v11?

A. There are multiple ways to incorporate counterparty credit risk: 1) Add a credit spread to the discount curve (can be done in all releases) 2) Calculate credit exposure to a portfolio of swaps (Analytics Suite 2009). Credit exposure was added to the plain vanilla swap portfolio workbook. A workbook to calculate credit exposure on a portfolio of swaps is also available through your BDM.

Use aaSwap_CRcont* (Analytics Suite 2009). This function allows the user to specify the default curve for the counterparty

Q: Can you give an example of prototype please? What is main advantage to use it?

A: Please contact Rob Reynolds directly at

Q: Can you estimate credit exposure for x-currency swaps?

A: Currently our coverage is limited to vanilla swaps, amortizing swaps and forward rate agreements. With a slight tweak to the existing functions, we would be able to show you how to include fixed rate bonds and floating rate notes. Our intentions are to expand our coverage in this area in the future. If you are interested in providing feedback or have ideas for additions, please contact us.

Q: Is the counterparty risk function available for options?

A: See above answer

Q: Is Thomson Reuters data planned to be integrated?

A. Not at this time. However, we rely on data originators who, in some cases, also supply Bloomberg Finance LP*, Thomson Reuters and other major names. We have successfully sourced and implemented market data in all categories, either as proactive additions or at client request. The question really comes down to what specific market data is being sought.

Q: Do I need to be on a Bloomberg Finance LP terminal if I choose the option "FINCAD Market Data"?

A: No. FINCAD and BLP data are independent data sources. FINCAD Market Data is a separate low-cost end of day data provider which requires an annual subscription. Our Market data is available from as far back as December 31, 1999. You can visit our website for a free evaluation.

Q: Where can I find documentation about the calibration method used for the Heston Model?

A: All documentation relating to FINCAD software can be found in the references section. Analytics documentation can be found within the Math Reference section while specifics on individual functions can be found in the Function Reference section. These documents can also be access through the Analytics Finder.

Q: I've checked, and I don't see the documentation describing the calibration itself.

A: If you cannot find a particular document just contact client services at and they will gladly assist you.

Q: Can FINCAD do VaR?

A: Yes. FINCAD has the ability to calcuate variance-covariance VaR within FINCAD Analytics Suite for Excel and for Developers. There are also workbooks available. The user will need to add the market data.

Coverage for VaR is also available in The Perfect Hedge which is an online ASP based solution. Here the user needs to enter in their deal details and FINCAD sources the data and runs the calculation.

Q: How do we get volatility from Bloomberg Finance LP - blp?

A: This is a question better asked for the Bloomberg Finance LP help desk. FINCAD has built in Bloomberg Finance LP links to download swaption volatilities in the calibration workbooks. Once the user knows the correct Bloomberg Finance LP code for any data they require, they can download the data into a spreadsheet and use this data within FINCAD software.

* Bloomberg is a trademark of Bloomberg Finance LP. FINCAD is not associated in any way with Bloomberg Finance LP.