News & Events

March 2009

Highlights:

FEATURED TIPS

Manage Smile Risk with the SABR Model of Stochastic Volatility

The seemingly simple task of pricing and hedging a swaption can become challenging if a volatility smile/skew is present in the market data. FINCAD Analytics Suite for Excel and FINCAD Analytics Suite for Developers expand FINCAD's coverage to price and hedge interest rate derivatives consistent with the market smile dynamics by adding pricing functions using the SABR model of stochastic volatility. FINCAD provides a function to calibrate the SABR model to market caplets/floorlets or swaptions data, which enable users to construct the volatility cube.
» Read more about Managing Smike Risk with SABR Model

FINCAD Analytics Suite 2009 Introduces New Monte Carlo Techniques

The FINCAD Analytics Suite for Excel and FINCAD Analytics Suite for Developers now have the ability to price various instruments using quasi-Monte Carlo and standard Monte Carlo simulation of various non-lognormal processes, as well as the use of multi-threaded computations to make simulations faster. They also have the capability to calculate the risk statistics of a range of single- and multi-asset options including Asian, Cliquet and Altiplano options. Both standard Monte Carlo simulation and quasi-Monte Carlo simulation can be used, and the calculations can be made faster using multiple threads.
» Read more about Monte Carlo Simulation


FINCAD PARTNER SPOTLIGHT

BNY ConvergEx Group's Eze Castle Software Joins FINCAD Alliance Program

Valuation and risk measurement issues are increasingly central to buy-side investment and trading decisions. Through its collaboration with FINCAD, Eze Castle now provides its Eze OMS users enhanced functionality for analyzing, valuing and trading OTC derivatives. Users now have access to the FINCAD Analytics library of financial instruments in all major asset classes with the advantage of using one source to value and measure the risk of a wide variety of financial securities and derivatives.
» Read More.

ANNOUNCEMENTS

FINCAD Enhances Analytics Coverage to Further Meet Need for Independent Valuations

FINCAD Analytics Suite 2009 now provides new coverage including Trigger swaps and Snowrange instruments, as well as enhanced coverage for Brazilian FRNs and Altiplano options. FINCAD has further enhanced the ability to create custom workbook solutions faster and market data integration makes all FINCAD calibration workbooks easier to use. In addition, in order to continuously provide added value for our clients, FINCAD now provides a workbook to calculate credit value adjustment CVA, to further enable users to meet FAS 157 requirements. View the Webinar for FINCAD Analytics Suite 2009.
» View Webinar.

FINCAD's The Perfect Hedge Provides Hedge Effectiveness Testing

In response to growing demand on corporations for an accurate and cost effective solution to measure hedge effectiveness and meet hedge accounting regulatory requirements, including FAS 133, IAS 39 and CICA 2865, we have enhanced FINCAD's The Perfect Hedge to enable corporate treasurers, risk managers, auditors, analysts, and service providers to better measure hedge effectiveness and risk for interest rate and foreign exchange hedges.
» The Perfect Hedge