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Mamdouh Barakat Risk Management (MBRM) are pleased to announce
the launch of the latest upgrade of their derivative pricing and risk management
product:
UNIVSWAP - Universal Swap Add-in (version 7.5)
This is used by major traders and fund managers world-wide to
price, hedge and monitor their derivative positions. The system marks to market
the portfolio and provides a risk analysis for parallel or nonparallel yield
curve shifts. It also calculates the hedging position to eliminate the
sensitivity to the yield curve. The major features of the upgrade are :
- Implementation of a no-arbitrage term structure model for
interest rates (using mean reversion).
- New volatility term structure used to consistently price Caps,
Collars, Floors, American and European style swaptions, options on interest rate
futures and IRGs.
- Automatic calibration of the volatility term structure using
market prices.
- The approach used is based on the extended Vasicek (Hull-White)
models, with a number of proprietary
improvements.
- Enhanced Portfolio Sensitivity Analysis. The system
marks to market the portfolio and provides a risk analysis for parallel or
nonparallel yield curve shifts. It also calculates the hedging position to
eliminate the sensitivity to the yield curve.
- Enhanced Asset Swapping capabilities.
The software is fully callable from Excel, Visual Basic, C, C++,
Access etc. It is therefore ideal for use as a toolkit in global risk management
systems. Dr Mamdouh Barakat, Managing Director, says "This would be
substantially less expensive and faster than developing the same advanced
algorithms in-house.
The cost of UNIVSWAP is £ 1,999.
Existing users of version 7.4 can upgrade their software for £ 999.50. A free
fully functional 30 day trial can be downloaded from MBRM’s internet web
site: www.mbrm.com
Taken together with the recent launch of MBRM Multi
Asset Monte-Carlo Analyser, for the analysis
of complex multi asset dependent options and securities portfolios in a
Riskmetrics compliant methodology, this is a distinctive move to include as
standard "middle office" capabilities.
Enhancements to the Universal Add-ins include :
- UNIVEXOT - Universal Exotics Add-in handles
additional exotic options including double barrier options, two touch options and two asset rainbow
options. New analytical and numeric models have been incorporated for speed and
accuracy. Instantaneous prices, full sensitivities, risk management parameters
and new implied volatility functions are available for ALL exotic options
handled.
- UNIVOPT - Universal Options Add-in has been
enhanced with new functions and features, including the handling of additional interest rate conventions and
settlement delays, the Phi sensitivity, Elasticity function, Forward Volatility
function (for modelling forward start options), a new set of PRINCIPAL functions
for analysing American and European style options on amortising instruments,
functions for displaying and converting of market prices quoted in different
fractional bases, and functions to imply the dividend yield, cash price or
futures price based on known market values. These latter functions are essential
for accurate pricing of American style options on equities or equity
indices.
- UNIVYLD - Universal Yield Add-in has been
enhanced with a new International section which consistently compares and hedges international bonds in markets
which have different quote conventions (e.g. semi-annual yield, JGB yield,
price).
- UNIVZERO - Universal Zero-curve Add-in has been
enhanced to become a generic interpolating lookup add-in for use in any modelling task, including volatility
smile lookup, FX forward point interpolation, fitting lines of best fit
etc.
MBRM’s internet web site : www.mbrm.com has been updated with a number of
new sections which are of interest to market practitioners, which include useful
links to related sites, frequently asked questions (and answers) and background
articles. A free fully functional 30 day trial of all the above add-ins can be
downloaded from the web site.
For Further Information, Please Contact :
Dr. Mamdouh Barakat
Managing Director
MBRM - MB Risk Management
an FSS - Financial Systems Software company
E-mail : sales@mbrm.com
Tel : +44 20-7628 2007 Fax : +44 20-7628 2008
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