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Inside Market Data
22 September 2003
by Arielle Weliky
Xenomorph adds pricing models to TimeScape
London-based Xenomorph has integrated pricing models for over 150 asset classes into TimeScape, its enterprise data management and analysis suite.
Pricing models from Monis, Tech Hackers and MBRM are now available through TimeScape Pricing Services, a component of the TimeScape suite that allows firms to deploy pricing models for their traders, quantitative analysts and risk managers. TimeScape Pricing Services can integrate internal and third-party pricing models and can be used for statistical trading analysis and back-testing, basket management and analysis, price and yield spread analysis, P&L calculation and risk reporting (IMD, May 26).
The integration was completed over the summer and the models will be available in the near future, says Xenomorph managing director Brian Sentance. TimeScape Pricing Services customers who are interested in using the pricing software must have a contract with the model vendor and pay a separate fee. Sentance says TimeScape is using this arrangement because it does not want to become a reseller.
"Despite our quantitative background in time series analysis, Xenomorph has no current intent to enter the pricing model vendor market," Sentance adds. Accordingly, the company looked for partners who could provide the models rather than build it themselves.
"The choice of which [pricing] model to use is up to the client," says Sentance.
He says it is useful to have access to different models since an asset may price differently depending on vendor model and calculation method. In addition, comparison across models allows for the benchmarking of new models, which helps to minimize model risk.
Xenomorph may introduce additional pricing models from other vendors or add new asset classes depending on demand.
Xenomorph has signed a German bank over the past month and is now working on a deal with a European investment bank for TimeScape Pricing Services. The vendor was unable to disclose further details about the deals.
Xenomorph is adding historic credit spread analysis functionality to the next version of TimeScape, which is due to be released in November. This version will support risky yield curves and make it possible to generate and analyze historic credit spreads between risky assets (corporate/sector bonds) and government curves, says Sentance. The company will "review what credit derivative [pricing] models are available in the market, including those from Monis," says Sentance.
TimeScape combines data management, systems connectivity and scalable pricing analysis of derivative and fixed-income portfolios, delivering a single view of all asset classes across time. Other components are TimeScape Connectivity Services and TimeScape Data Services.
by Arielle Weliky
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