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XENOMORPH, LONDON, 4 OCTOBER 1999
New product launch - Xenomorph Instrument Risk SystemTM
Xenomorph bring major pricing models vendors into historical data analysis framework
Xenomorph, a leading provider of trading and risk management software to the financial industry, today announced the launch of the Xenomorph Instrument Risk System, a suite of applications and interfaces enabling historical and real-time pricing and risk analysis of derivatives, cash securities and interest rate products. The System uses Microsoft COM and Xenomorph Database (XDB) technology to combine instrument and market data from sources such as Reuters, Bloomberg and FAME with pricing models from major vendors such as TechHackers, MBRM and MONIS.
The Xenomorph Instrument Risk System offers the following unique features:
- Historic Theoretical Pricing and Risk – Traders and risk managers can calculate historic theoretical price and 'greeks' by simply changing the value date for the calculation – retrieval of the historic data required for the calculation is done automatically. This kind of functionality can be used in historic P&L explanation, full valuation VAR methods and theoretic versus realised trading strategy evaluation.
- Historic Interest Rate Zero Curve Analysis – Traders and risk managers can calculate and analyse historic interest rate zero curves. Yield curve definitions can contain any interest rate instrument required by a model, such as cash rates, futures and swaps. Additionally, the yield curve definition is itself historic and so the composition can be configured to change over time as new products appear or existing ones becomes more liquid.
- Model Benchmarking and Model Risk – The System can be used to benchmark and validate pricing and 'greeks' for new models through user-controlled dynamic switching between different model vendors and pricing techniques. The ability to easily switch between more than one pricing model for the same instrument can also be used to minimise model risk through comparison when calculating price and risk sensitivities.
- Rapid Pricing Model Integration – Xenomorph Database technology allows complex data structures to be easily and quickly defined, enabling the rapid integration into the System of both internal or external pricing models libraries (eg, from TechHackers, MBRM, MONIS, etc).
- Simpler, More Powerful Spreadsheets – The System allows instrument price and 'greeks' to be calculated without needing the instrument's static data to be present in the spreadsheet. Hence spreadsheets do not become cluttered with large and complex data inputs, allowing more instruments to be analysed in a more controllable, flexible manner.
- Embedded Statistical Analysis – Building upon Xenomorph's extensive knowledge of time series analysis, the System comes with easy to use correlation, volatility and general financial analysis for all instrument types including baskets and portfolios.
- A Single Interface to All Instrument Types – The Xenomorph Instrument Risk System provides a single set of application and programming interfaces to all instrument types, regardless of the complexity of an instrument's data or the pricing model being used.
- Programming Access to Any System Layer – The Xenomorph Instrument Risk System's Excel and VB/C/C++(COM) interfaces allow complete customisation of any aspect of functionality, whether at the instrument, yield curve or time series level.
"The Xenomorph Instrument Risk System builds upon Xenomorph's existing expertise in pricing models integration and market data analysis. For those traders, risk managers and hedge funds that want to maximise their risk and trade analysis capabilities, the Instrument Risk System has the power and flexibility to put them ahead of the competition" says, Brian Sentance, managing director of Xenomorph.
For more information on the Xenomorph Instrument Risk System contact Xenomorph sales