April 2008

ANNOUNCEMENTS

Version 11.1 of FINCAD XL and FINCAD Developer Are Available For Download

Building on the successful Version 11 release which included TARNs, CMS range accruals, snowblades, Mexican bonds, and stochastic volatility, FINCAD XL and FINCAD Developer Version 11.1 enhancements enrich the user’s overall experience. In addition to significantly faster calculations, enhancements were made to Brazilian government bonds and Brazilian inflation bonds. In the FINCAD XL product, new and improved workbooks for credit, fixed income and interest rates were included.

FINCAD Offers Professional Services - Training and Consulting

Whether you are setting up a new options desk or shoring up your derivatives valuation skills in today’s rapidly-evolving marketplace, FINCAD Professional Services now offers both training and consulting services so you can get the most out of your technology.
» Learn FINCAD Professional Services

SPOTLIGHT

Pricing Brazilian Instruments - Bonds, Inflation and Swaps

The flexible functions available in Version 11 offer users the ability to price Brazilian government bonds, inflation bonds and swaps. This article discusses some specific instruments that FINCAD covers along with examples and includes a sample workbook.
» Learn how to price Brazilian Instrument

FEATURED INSTRUMENT

Valuation of Variance and Volatility Swaps

Variance and volatility swaps can be used to speculate on future realized volatility, to trade the spread between realized and implied volatility, or to hedge the volatility exposure of other positions, for example structured products. FINCAD XL Version 11 provides functions to value variance and volatility swaps using model-independent replication strategies as well as using the Heston model.

FEATURED TIPS

Perform Sensitivity Analysis With FINCAD’s Key Rate Risk Analysis Workbook

In v11, FINCAD introduced a powerful Key Rate Risk Analysis workbook that makes it easy to perform sensitivity analysis on a portfolio of interest rate sensitive instruments.
» Learn how to perform Sensitivity Analysis

Combining A FINCAD User Data Workbook With A BLP^® -Enabled Swap Curve Workbook

This time-saving tip allows users to easily combine a FINCAD User Data Workbook with a Bloomberg Finance LP^*-Enabled swap curve.
» Learn how to combine and use Bloomberg Finance LP-Enabled swap curve workbook

DEVELOPER’S CORNER

How To Convert Between Serial Dates and Java^TM Dates

This article provides some useful Java^TMcode that extends the functionality in the GregorianCalendar class so that it can be initialized using dates in multiple formats. The extended class allows easy conversion between Java’s native Date type and the serial date format, which is used in the FINCAD library. It could also be used to convert serial dates that come from SQL Server, Excel or FINCAD functions into standard Java^TM dates.
» Convert between Serial and Java Dates

* Bloomberg is a trademark of Bloomberg Finance LP. FINCAD is not associated in any way with Bloomberg Finance LP.