News & Events

FINCAD Newsletter March 2010

SPECIAL FEATURES

COMING IN APRIL

ANNOUNCEMENTS

EVENTS & WEBINARS

Further Reading

  • The Use of Derivatives by UCITS: The Importance of Valuation and Risk Management
  • Transparency in Treasury Management: A Guide to Counterparty Risk Exposure

    • SPECIAL FEATURES

    F3 Provides Customers with Ultimate Flexibility — Customize Every Element of a Deal

    In response to the rapidly changing lifecycle of derivatives analytics libraries, the F3 SDK provides ultimate flexibility to users who require the ability to customize every element of a deal. » Learn the technology behind F3

    Results on the CEV Process, Past and Present

    Pricing derivatives under the assumption of constant volatility, as in the classic Black-Scholes-Merton model of option pricing, is well-known to give results which cannot be reconciled with market observations, although these problems did not widely manifest themselves until the 1987 market crash. After this event, the so-called volatility smile or volatility skew became common place in equity markets. The volatility smile is a market phenomenon whereby the Black-Scholes implied volatility of an option exhibits a dependence on the strike price. » Download the paper

    COMING IN APRIL

    Concurrent Licensing Now Available in FINCAD Analytics Suite 2010

    Improve operational efficiency and reduce costs with concurrent user licensing. Large groups of users can now share a pool of licenses – which can reduce the number of licenses an organization needs to purchase and maintain, and eliminates the need to transfer licenses between individual devices. The new license service also simplifies Disaster Recovery of mission-critical FINCAD applications. » Contact a FINCAD representative for more details.

    ANNOUNCEMENTS

    FINCAD Launches Ground-Breaking Financial Analytics and Risk Solution - F3 SDK

    F3 SDK is a software development kit that allows you to embed FINCAD's new object-oriented analytics library into new and existing systems. This highly flexible solution that provides access to objects at a granular level, which allows customization of everything from date conventions to payoff schedules. » Learn more about F3 SDK

    FINCAD Enhances Fair Value Insight

    Additional coverage and functionality improvements have been added to Fair Value Insight. Users can now calculate the credit value adjustment on their swap trades. Also added are Asian exercise commodity options and option strips (sometimes referred to as commodity swaps). Pricing for commodity trades can be done using either implied or flat volatilities adding to the accuracy of valuations. Fair Value Insight, a joint offering from FINCAD and ICAP, is a SaaS (web-based) derivatives pricing and risk measurement solution that provides access control, transparency, and automated report generation and delivery. » Learn more about Fair Value Insight

    New Coverage Added to FINCAD Market Data

    Seven new jurisdictional interest rate curves have been added to FINCAD Market Data, with a focus on emerging market economies allowing users to value instruments for these jurisdictions. FINCAD Market Data now covers over 25 jurisdictions from the G8 to various Asian and emerging market economies.

    EVENTS & WEBINARS

    Free Webinar: Treasury Transparency: Critical Strategies for Auditor-Ready Derivative Valuations

    Thursday, April 22, 2010
    Join industry experts from FINCAD along with Cubillas Ding, Finance & Risk Research Director at Celent Research for a webinar on critical strategies for treasury transparency and an auditor-ready derivative valuation process. This session will provide compelling must-have strategies that every corporate finance professional needs for handling their derivative pricing process. » Click for webinar details

    Reuters HedgeWorld CTA 2010: Managed Futures and Comodities Investing

    FINCAD is a proud sponsor of CTA 2010. The event features a series of breakout panels and networking opportunities focused on managed futures and commodity investing. Increasingly, investors from pension funds to family offices are allocating money to managed futures and commodity strategies, searching for diversification and returns. During the day, we will explore some of the reasons for this trend, and discuss ways to manage risk, how regulatory changes will affect the space and how to find the best managers. Join us at FINCAD's exhibit for a look at the most current offerings of industry standard financial analytics. » Click for more information

    Integrating 3rd Party Derivatives Analytics: A Technical Overview

    Earlier this year, FINCAD hosted a webinar targeting firms that are looking for ways to address the need for independent derivatives valuation while meeting their technical requirements. The webinar highlighted reasons why firms are increasingly integrating 3rd party pricing libraries within their trading, order management, risk management, and other investment management systems. FINCAD also provided technical demonstrations of its two pricing libraries:

    1. FINCAD Analytics Suite for Developers: FINCAD’s classic library with comprehensive coverage and multiple development environments
    2. F3 SDK: FINCAD’s new next generation library that is built on a flexible, object-oriented architecture with coverage for more complex or structured products.
      Click here to view the recorded webinar today!

    FURTHER READING

    The Use of Derivatives by UCITS: The Importance of Valuation and Risk Management

    Financial derivative instruments, (including OTC derivatives) have been eligible for use in Undertakings for Collective Investments in Transferable Securities (UCITS) funds for investment purposes since the introduction of the UCITS III product directive in 2001. This expanded investment power has given rise to a growing interest in a new breed of funds. Called by many names, "Sophisticated funds", "New-cits", or "Hedge fund-lites", UCITS III paved the way for the convergence between hedge fund strategies and UCITS.
    » Download the white paper: Use of Derivatives by UCITS

    Transparency in Treasury Management: A Guide to Counterparty Risk Exposure

    Significant global market changes now require treasury departments to re-examine approaches to measuring and mitigating risks. With market volatility, threats to liquidity and counterparty risks along with regulatory pressures, treasury needs increased transparency and independent valuations.This has provoked treasurers to analyze financial risk rexposures in new ways as never before. Further requirements to measure and disclose risks are imminent, but the practical aspects of how to measure, manage and disclose risk have yet to conclude on common answers.
    » Download the white paper: Transparency in Treasury Management