Rates, Curves and Surfaces

This white paper describes how Xenomorph’s TimeScape analytics and data management (ADM) solution is used to achieve greater transparency and consistency by ensuring that all systems use the same rates, curves and surface data. It shows how TimeScape can be used to collect, validate, cleanse and store this data, and how this “Golden Copy” of data can be analysed, published and distributed to downstream systems. Finally the paper illustrates how the principles of centralised data management can be extended from rates and applied to the centralised management of more complex objects such as scenarios and spreadsheet calculations.

View complete Rates, Curves and Surfaces white paper PDF. (This document requires the free Adobe/Acrobat Reader.) 20 pages, 2MB

Introduction

Following the recent financial crisis, risk and regulation have come to the fore in people’s minds. Never before has it been so important for risk managers, regulators and clients to understand the detail of the data beneath the headline risk reports, and be confident that all data used is of a high quality and consistent from one aggregation to another. Everyone wants a complete firm-wide view of risk that cuts across asset classes, trading divisions and locations. It has become vital - with the divisions blurring between market, credit and operational risk - that all systems use the same data foundation. Whilst there are many dimensions to the causes of the financial crisis, model risk and theoretical valuation has received much attention in the form of discussions of model risk within risk management, of accountancy standards for “fair value” and the continuing operational risks of front-office mis-pricing. Within valuation, one key step to greater transparency is a consistent, high quality and open foundation for key data sets such as prices, rates, curves and surfaces.

White paper contents

• TimeScape – The Building Blocks for Consistency and Quality
• Rates – From Real Time to History
  • Tick-by-tick/Snap Capture of Real-Time Data
  • Interactive Datafeed Access
  • File Import
  • Custom Importers using APIs
  • Importing from Excel
  • Rate Validation
  • Analysing the Rates
  • Data Rules
• Defining Curve Objects
  • Data Drill-Through
  • Curves and Tenor Queries
  • Defining a spread curve
  • Curve Validation
  • Exploring and Exporting Curves and Rates
• Defining Market Yield Curves
  • Integrating Your Choice of Bootstrapping Model
  • Shifts, Historic Scenarios and Bumps
• Volatility Surfaces and More Complex Data Structures
  • Volatility Surfaces
  • Supporting Swaption Cubes and other data sets
• Extending Data Management to Analytics Management
• Summary
• Appendix – TimeScape Logical Architecture

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View complete Rates, Curves and Surfaces white paper PDF. (This document requires the free Adobe/Acrobat Reader.) 20 pages, 2MB