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MBRM
MBRM - MB Risk Management
29 Throgmorton Street
London EC2N 2AT
United Kingdom

Email: sales@mbrm.com
Phone: +44 20-7628 2007
Fax: +44 20-7628 2008

MBRM PRESS RELEASE
http://www.mbrm.com

Dec 1996

Enhanced Portfolio Sensitivity Analysis

Mamdouh Barakat Risk Management (MBRM) are pleased to announce the launch of version 7.4 of their derivative pricing and risk management products:

UNIVSWAP - Universal Swap Add-in

This is used by major traders and fund managers world-wide to price, hedge and monitor their derivative positions. The major feature of the upgrade is the enhanced portfolio sensitivity capability for pricing and hedging of different instruments, including Bonds, Caps, Collars, Floors, Deposits, FRAs, Futures, Loans, Options, Swaps and Swaptions. 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. 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.

UNIVSWAP users will also get a free trial of our MBRM Bond Futures "Cheapest to Deliver" Analyser (MBRMCTD.XLS). This is a cash versus bond futures arbitrage model. Versions are available for the German, Italian, French and US markets.

UNIVEXOT - Universal Exotics Add-in

This 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

This has been enhanced with new functions, including the Phi sensitivity, Elasticity function, Forward Volatility function (for modelling forward start options), and a new set of PRINCIPAL functions for analysing American and European style options on amortising instruments.

UNIVYLD - Universal Yield Add-in

This 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

This has been enhanced to become a generic interpolating lookup add-in for use in any modelling task.

For further information, please contact our Sales Team

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