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

Switchboard: +44 20-7628 2007
Support: +44 20-7628 2008

MBRM Technical Support Facilities


Apr 1997

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.

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

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 :

1. 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.
2. 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.
3. 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).
4. 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.

MBRMís 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 our Sales Team

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