Curve Building

Portfolio Valuation and Risk for Multi-Asset Derivatives and Fixed Income

Our flexible, high-performance, and transparent solutions help over 1,000 global organizations enhance investment returns, manage risk, reduce costs, comply with regulations, and provide confidence to investors and shareholders.

Unsurpassed Flexibility in Curve-Building
Market changes such as negative interest rates, OIS discounting and greater regulation around margining have made curve-building more difficult than it once was. In this unpredictable marketplace, firms that want to thrive need the flexibility to rapidly adjust their curves. 

 

F3’s highly flexible curve-building enables you to precisely reflect your market view, and future-proofs your firm against unanticipated changes in market convention. F3’s modeling framework is self-consistent, supports multiple curves and currencies, and you can build curves from any market instrument using a variety of discounting models, including OIS, multi-currency CSA, Libor + funding spread — and without downtime or coding work.

How You Benefit

  • Get Future-proof Valuation and Risk: Accurately value and risk manage derivatives, including MBS and interest rate derivatives impacted by negative interest rates
  • Identify and Seize Profitable Trading Opportunities: F3 provides unmatched speed and flexibility for custom curve-building, helping you move fast on opportunities 
  • Protect Yourself Against Uncertainty: A highly flexible framework allows you to rapidly change your curve-building approach to accommodate issues like negative rates, OIS discounting and multi-currency CSA’s
  • Gain More Control: Quickly and easily build models and curves that reflect your market view

Key Features

  • Multi-curve Construction: Advanced curve building allows multiple interpolation methods within a curve and the flexibility to control stochastic processes
  • Sophisticated Curve-building : F3 enables you to efficiently build multiple types of curves for discounting from any market instrument using a variety of discounting models
  • Unsurpassed Flexibility: F3’s calibration engine allows the combination of multiple models, market data and curve smoothing techniques to build advanced curves
  • Advanced Modular Framework: Quickly and accurately price vituallly any instrument from vanilla to exotic, including hybrids and structured products
  • Consistent Model Management: Centralized management of models, curves, data, and assumptions create an arbitrage-free view of the markets

Contact us to learn more, or request a custom demo. 

Video

F3 Video

The next generation of powerful valuation and risk solutions is here.

Brochure

F3 Brochure

Portfolio valuation and risk analytics for multi-asset derivatives and fixed income.

eBook

Flexible Curve Building eBook

Learn the 3 keys to future-proofing your firm using flexible curve building.  

Custom Demo

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