Derivative Solutions

F3

F3's architecture gives you the flexibility and control to value virtually any financial structure or payoff. By separating the description of trades and portfolios from the construction of the financial models, and the valuation method employed, F3 remains completely generic. It is this unique generic nature that ultimately enables you to represent any trade or financial structure.

How F3 works

While you need the flexibility to structure your trades, you also need to understand if the risk associated with your position is greater than what your appetite allows for.

Universal Risk Technology™

F3 delivers guaranteed first-order risk, providing you with the exact risk associated with the trade or your entire portfolio. F3 utilizes Universal Risk Technology™ (URT), a robust fusion of calculus and advanced software engineering that eliminates the need for resource intensive "bumping".

Through Universal Risk Technology, F3 is able to generate a risk report with information about the sensitivity of a trade or a portfolio of trades to all market data in which the valuation of that trade or portfolio depends. By utilizing URT, F3 avoids the inaccuracies that are inherent in sensitivities calculated using bumping and provides the information in a fraction of the time.

F3 is available in Excel, MATLAB or as an SDK:

F3 Overview (1,009KB PDF)
F3 Excel Edition brochure (321KB PDF)
F3 Toolbox for use with MATLAB brochure (831KB PDF)
F3 SDK brochure (331KB PDF)

Please view the F3 Platform page for further information on our analytics platform

The F3 Risk Report is a lot quicker than industry standard curve bumping. RR was <0.01 seconds, curve bumping 20 for a sample risk calculation - and the results are practically identical.

Amrish Ganatra Founding Partner,
Cerebra