Enterprise Valuation and Risk Platform
Generic trade and modeling representation (and separation of these concepts) is at the core of FINCAD’s enterprise valuation and risk platform technology. By remaining completely generic, new trade structures are inherently accommodated without writing new code. This design addresses the complexity posed by modern pricing and risk challenges and the need for future-proof solutions.
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, structures can be represented completely generically and engineered quickly and effectively without writing new code. This includes vanillas, exotics, hybrids, structured products, and multi-asset and multi-currency portfolios.
This modularity also plays a role in FINCAD’s stable and mature implementation of algorithmic differentiation, Universal Algorithmic Differentiation™, enabling almost instantaneous calculation of Greeks and basis point sensitivities for accurate hedging.
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.
Since 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.