F3 delivers comprehensive, highly flexible, and scalable solutions for pricing, valuation, and risk challenges across the enterprise.

Portfolios and Hybrid Instruments

Risk and Valuation

Any group of trades (e.g. netting sets, trading books, strategies) can be aggregated into a portfolio with F3. Portfolios and hybrids can be nested to any level and all analytics are supported, from valuation and cash flows to comprehensive analytic sensitivities, xVA, scenarios and VaR. With a full set of industry-standard risk measurement tools, you can prevent losses with a clear view of portfolio sensitivity to market scenarios and shocks.

Hybrid modeling on the fly

F3’s unique generic hybrid modeling framework allows any model for any asset to be combined with any others to form a full hybrid model, on the fly, without research or software development. This means that it is no longer necessary to compromise with simplified models when calculating CVA for multi-asset multi-currency portfolios – the hybrid model captures each smile just as well as each desk’s pricing model.

Correlations, copulas, and non-linearity

Models are combined using intuitive correlations that can be calibrated to any hybrid instrument or structure. High-performance hybrid simulations result from eliminating unnecessary discretization found in traditional hybrid frameworks. A smooth, incremental path is available for pricing individual trades through to non-linear functions of hybrid portfolios, allowing you to scale up to complex calculations confidently and transparently.

F3 also enables you to combine arbitrary models, forming the multivariate joint distribution for multiple portfolios. Traditional analytics libraries are forced to compromise in their hybrid models, making simplifying assumptions in order to construct a joint distribution or avoid it entirely. F3’s advanced hybrid modeling framework introduces a new technique called Automatic Numeraire Corrections to retain all the high-fidelity aspects of sophisticated models for each asset class. Copulas are applied to construct arbitrary hybrid models on the fly in a coherent manner, without writing new code.

With a robust hybrid model of the joint distribution of multiple asset classes, non-linear measures of counterparty risk such as CVA can be meaningfully calculated for netting sets across different desks and business areas.


Advanced Structures and Hybrid Modeling

Numeraire corrections, cross-asset correlation calibration, modeling exotic payoffs, and real-time risk hedging.

Technical Sheet

F3 Platform Advanced Structures and Hybrids

F3 Platform is flexible. Model, value, and risk manage virtually an derivative - including those with complex structures.