Highlights of FINCAD Analytics Suite 2012.1
FINCAD Analytics Suite 2012.1 is now available. This latest release includes curve construction and usability enhancements including the addition of several new functions, as well as improvements to existing functions.
Curve Enhancements
New curve building algorithms help to increase the efficiency and accuracy of your calculations, and continue to reflect industry developments in curve-building paradigms.
Smooth Forward Curves
- Construct forward rate curves that are continuous and smooth with the Monotone Cubic Spline Interpolation method
Federal Fund Curve Construction
*This image shows a portion of the input tables and given output for the fcLiborOISDualCurves function
- The addition of the new function - fcLiborOISDualCurves - allows you to simultaneously build discounting and LIBOR curves using OIS (CSA) discounting, and;
- Use LIBOR-OIS basis swap quotes in markets where long-dated OIS swap rates are not available or less liquid;
- Optionally, use Overnight Rate futures (such as Fed Funds Futures) in discount curve building for curve definition in the middle portion of the curve
Enhanced Support for Turn Pressure in Curve Building
- Achieve increased accuracy in pricing interest rate derivates by specifying higher borrowing costs on significant dates, such as turn-of-the-year
New Functions
New 'fc-style' functions have been added to improve the efficiency, accuracy and ease-of-use of calculations, as they are pre-configured to include market data conventions and multiple input entry formats.
These new functions are designed to provide you with as much information as possible using the fewest number of functions, representing a significant improvement over existing 'aa-style' functions, reflecting the latest developments in financial analytics.
- fcIRSwap
- Calculate the value and sensitivities of an interest rate swap, with variable coupons and margins, and compute par margin and par rates specific to the structure of the coupon or margin rate steps;
- Payment schedule can be expressed in a more flexible and intuitive manner;
- Combined with fcLiborCurves, this function enables exact re-pricing of market instruments to par when using built-in market conventions
- fcRollSchedule
- Easily obtain detailed reporting of payment schedules based on built-in market conventions
- fcMaturityDate
- Gain better insight into the result of applying new built-in index and schedule types on the maturity date of trades that use them