Derivative Solutions

Highlights of FINCAD Analytics Suite 2013

FINCAD Analytics Suite 2013 is now available. Highlights of this latest release include bond enhancements, an upgraded swap portfolio workbook, and the addition of Vanna-Volga methodology for FX options, as well as usability and performance improvements.

Bond Enhancements

  • A new flexible bond function supports many bond conventions, amortization, many yield types, z-spread, and rounding/truncation of yield or price
  • Support for additional market conventions; e.g. NL/360 day count

Vanna Volga Method for FX Options

Vanna Volga Method for FX Option

*This image shows a 3D plot of the price of an up-and-out call option as a function of the time to expiry and the spot FX rate, as calculated using the Vanna-Volga method.

Improve accuracy with the ability to use the market consistent Vanna-Volga pricing method for FX barrier and binary options. The Vanna-Volga method allows you to take the volatility surface into account when pricing FX barrier and binary options, for greater precision.

New Swap Workbook

New Swap Workbook

*This image (above left) highlights the first sheet of the revised swap portfolio workbook, where an individual swap can be defined, priced, and added to a portfolio. A second sheet (above right) of the same workbook allows the portfolio to be managed and analyzed.

Rebuilt using the new fc functions, this revised swap workbook better reflects current market practices by offering increased flexibility and accuracy. It can be used to analyze either single contracts, or a swap portfolio using an edit view for the individual swaps, and is designed for those who work primarily with built-in workbooks as well as serving as an example of how to build workbooks with fc functions. The workbook includes sheets that build the OIS curve and Libor forward curves of various tenors, and offers a choice of discounting curves.

Usability and Performance Enhancements

FINCAD Analytics Suite 2013 includes performance and usability enhancements to increase the speed and ease-of-use for derivatives valuations. Enhancements include broadened
‘drop-down’ functionality for fc functions.

Being able to work with both foreign exchange and interest rates in the same software environment has reduced the learning curve it takes to value instruments. FINCAD Analytics works with just about everything we do.

Brian Moore Manager of Financial Markets,