MBRM - MB Risk Management

Jul 2001

MB Risk Management (MBRM) are pleased to announce the launch of a new module in their UNIVERSAL™ Add-ins range.

The UNIVLMM - Universal LIBOR Market Model Add-in implements the cutting edge multi-factor LIBOR Market Model and "Brace-Gatarek-Musiela" (BGM) model to price and risk manage interest rate derivatives, including American and Bermudan Swaptions [with both Mesh and Monte Carlo algorithms supported], Delivery Options in "Cheapest To Deliver" (CTD) Bond Futures and Exotics Interest Rate derivatives such as AutoFlex Caps, Reset Caps, Trigger Swaps and Spread Options. The system automatically calibrates the multi-factor interest rate volatility term structure to any of the traded instruments (e.g. swaptions, caps, floors, collars, corridors, digitals), including fitting expected correlations between different parts of the curve. Calibration and pricing are lightning fast.

Please see our latest price list (http://www.mbrm.com/pricelist.shtml) for the cost of this module.

A free fully functional 30 day trial can be downloaded from MBRM's internet web site : http://www.mbrm.com

Background :

MBRM are developers of the world-famous UNIVERSAL Add-ins. With 30,000+ users world-wide, the UNIVERSAL Add-ins are the most widely-used derivative software for the pricing, risk management, trading, arbitrage, fund management and auditing of securities, options, futures and swaps in the convertible, fixed income, commodities, energy, equities, foreign exchange and money markets. Links with most real-time feeds creates a powerful and dynamic analytical environment. MBRM's software is used world-wide in mission critical applications by most major Investment Houses, Money Managers and Corporate Treasuries.

The UNIVERSAL Add-ins are implemented as function calls in a Dynamic Link Library (DLL), thus assisting in the ease of use and integration into the user's analytical environment. They can therefore be called from Excel, Access, Visual Basic, C, C++, Delphi, Fortran etc. This object-orientated building-block approach provides unequalled speed, cost-effectiveness and flexibility. MBRM's technical support is excellent since the software has been designed and implemented in-house.

For further information, please contact our Sales Team

Previous

[index]

Next