Multi-asset, Multi-currency Derivative Solutions

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.


F3 SDK provides the F3 valuation and risk analytics architecture and library for developers to enhance existing systems and accelerate time to market with new applications. Designed for ultimate modeling flexibility and ease of integration, F3 SDK helps you scale today’s most advanced analytics platform for any level of production.

F3 SDK can integrate with any enterprise architecture, including Service Oriented Architectures (SOA). Through a simple and lightweight API, you can quickly map trade representations from your own software to F3 SDK, making your solution operational in days – not months.

Like all F3 products, F3 SDK includes P&L attribution, full transparency, and analytic first order sensitivities. F3 SDK’s P&L attribution enables pricing and risk monitoring in a single system, saving you time and resources by avoiding reconciliation. Calling logging, tracing and analysis of a calculation’s components, and a complete and comprehensive audit trail make modeling completely transparent and defensible for inspection, validation, and compliance.  

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Generic trade and modeling representation (and separation of these concepts) is at the core of modern enterprise valuation and risk platform technology. This design addresses the complexity posed by modern pricing and risk challenges. By remaining completely generic, new trade structures are inherently accommodated without writing new code, delivering a future-proof solution.

Generic trade representation

F3 facilitates construction of both simple and complex products from a set of fundamental, modular, and generic building blocks. By describing all trades in terms of their fundamental obligations and rights, trades, hybrids, and multi-asset and multi-currency portfolios can be represented completely generically. New structures can be engineered quickly and effectively without writing new code, delivering a future-proof solution.

This modularity also plays a role in FINCAD’s stable and mature implementation of auto-differentiation, enabling analytic first order sensitivity for the calculation of Greeks and basis point sensitivities.

Separation of concepts

In F3, separating the concepts of a product, the market data model, and the numerical method of valuation produces a large degree of flexibility. This abstraction of concepts enables users to describe any structure and value it quickly and effectively.

Because there is a definitive line between a model (set of modeling assumptions) and the product (payoff) being valued, the same model can be reused to value a variety of different products and a given product can be reused for a variety of different models, saving time and resources.

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