F3 Release Highlights
F3 4.0, the latest release of F3, includes numerous performance, usability and CVA enhancements. With a focus on calibration improvements and the ability to offload calculations, F3 4.0 emphasizes maximizing computational efficiency and handling large portfolios with ease.
Easy Curve Construction
- New "out of the box" curves with built in market conventions allow you to quickly and easily form discount curves, rate curves, and swaption volatility surfaces in a self-consistent multi-curve framework
- Applicable to GBP, EUR and USD currencies
- Analyze the cross-currency impact on valuation and sensitivities
- The pre-built curves are based on common market practices but can be customized as required
- OIS discounting or Funding Curve automatically used depending on collateralization of trade
CVA Enhancements
This image shows the margin period of risk for a cross currency swap with multiple collateralization options, from the perspective of a US investor.
- Improve your CVA accuracy and comply with regulatory requirements by incorporating the effects of margin period of risk and wrong way risk
- The CVA calculation has been optimized to support larger and more numerous portfolios with ease, critical for firms managing CVA at a global level
Futures Support
- New convenience functions allow for easier and faster creation and valuation of equity, currency, bond and commodity futures
- Provides easy customization with the ability to add, for example, user or pre-defined convexity adjustments to the model
Volatility Cube Enhancements
- More robust construction of the swaption volatility cube using the SABR model
- Richer volatility cube construction lets you more easily calibrate rates models using an incomplete set of swaption quotes
Flexible Market Data Infrastructure
- Easily connect F3 to real time or historical market data
- Can be extended to integrate with any market data source
- Quick start interface for Thompson Reuters market data
Platform Server
- F3 4.0 includes a server edition that allows for the sharing of models, instruments, portfolios, risk reports and more across teams throughout organizations
- Control how calculations are run by either selecting to run these on local machines or through the F3 Platform Server. By running calculations through the Platform Server, resource intensive calculations can be executed in a fraction of the time of typical desktop systems
- Caching of F3 objects, curves and valuation results on the Platform Server also enhances the ability to perform multiple calculations quicker