F3 Release Highlights
The latest release of F3 includes the addition of hybrid modeling, P&L attribution, and increased risk and product coverage.
Hybrids
- Ability to price Hybrid Structured Products, Variable Annuities, and Convertible Bonds
- Increased flexibility to accommodate variations
- Detailed risk report for each hybrid regardless of complexity
P&L and Performance Attribution
- P&L Attribution for complex instruments to improve management of trading activity
- Metrics to analyze incremental portfolio changes - Currency, Vega, Rho, Theta, Delta, Gamma
- Isolate P&L attributions of a many legged instrument
- One integrated system eliminates the need for resource intensive reconciliation between multiple systems
- Analyze performance against benchmarks
P&L Attribution Table (Click here for a larger view)
Risk Enhancements
- Collateralized CVA for more accurate reporting of counterparty credit risk
- Run highly efficient Monte-Carlo simulations on credit exposure
- Ability to calculate CVA on highly complex portfolios
Extended Product Coverage
- Expanded FX coverage
- New convenience functions to simplify the creation of Risk Reversals, Butterflies and ATM Straddles trading strategies
- Construct volatility surfaces, smiles and curves from these trading strategies which can then be used to price more exotic FX derivative products
- Expanded Bond Coverage
- Fixed coupon government bonds and EuroBonds (Australia, Canada, France, Germany, Italy, Japan, Mexico, Spain, UK, USA)
- Bond Repurchase Agreements
- Range Accruals
- Computationally efficient pricing of Range Accruals
- Intuitive inputs for fast set up
- Compare multiple spreads
MATLAB® Linux Support
- RedHat® Linux 5.0 64 bit Support for F3 Toolbox for use with MATLAB®