email us
TimeScape Pricing Services
Integration and programming
TimeScape Pricing Services is a flexible, add-in based, high-performance calculation infrastructure within which any kind of derivative or fixed income instrument or pricing model can be integrated quickly and easily. This flexibility is achieved due to the flexibility of the TimeScape Data Services data model which can easily be extended to support instrument types in timeframes that are measured in minutes as opposed to weeks or months as is traditional in most RBMS systems.
Key Features
- Provides one single set of applications and normalised interfaces for pricing of all types of financial instrument
- Allows pricing and sensitivity calculation both real-time and at any point in the history of an instruments life
- Interest rate zero and discount curves can be constructed both real-time and any point in history using full historic market data and time-varying yield curve composition
- Pricing SDK allows any kind of instrument and/or pricing model can be integrated into the system quickly and easily
- Pre-built add-in modules available for TimeScape third-party model vendors, such as MONIS already supporting over 150 styles of financial instrument (bond, options, convertible bonds, swaps etc).
Key Benefits
- New financial instruments can be integrated into core risk management systems in short time-frames so that regulatory and compliance issues with "out of system" trades can be avoided
- Operational risk of spreadsheet usage is minimised since all users and systems are accessing the same, centralised instrument reference data
- Spreadsheets can be designed that contain all of the functionality traders want but without spreadsheets becoming unwieldy in usage and in size
- In-house trading, risk management and database systems do not need to be redesigned or rebuilt to accommodate new instrument types
- The same instrument can be re-priced using multiple pricing models for benchmarking of new models and to reduce model risk in quoting prices to clients
- Derived data such as historic implied volatilities and historic price sensitivities can easily and accurately be generated and stored for further analysis