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


Sep 1997


  • American and Bermudan style options on Bonds or Swaptions
  • Constant Maturity Swaps (CMS)

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

The UNIVCMS - Universal CMS & Swaptions Add-in is a new module for the pricing and risk management of Constant Maturity Swaps (CMS) and Bermudan and American style options on Bonds or Swaptions. The approach used is based on the extended Vasicek (Hull-White) models for implementation of a No-Arbitrage term structure model for interest rates (with mean reversion), and utilises the balanced tree build approach for increased accuracy.

One application would be the accurate valuation of the imbedded call or puts in bonds. Another application is the valuation of basis swaps (e.g. 10 year swap versus 6 month LIBOR).

It creates a volatility term structure to consistently price Caps, Collars, Floors, IRGs, Swaptions and options on interest rate futures, bonds and swaps. It also calculates and displays the forward rate or bond price at the end of each node of the term structure tree, thus assisting in risk management and scenario analysis.

The software is fully callable from Excel, Visual Basic, C, C++, Access. The new features are implemented as a single function call, thus assisting in the ease of use and integration into the user's analytical environment. 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. We can also licence our source code. I believe that we offer the best, fastest, most flexible, most cost effective, and most widely used analytical toolkit software in the world."

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

Minumum System requirements :

        32-Bit Windows. i.e. Windows 95 or Windows NT
        32-Bit Excel
        UNIVSWAP - Universal Swap Add-in

For further information, please contact our Sales Team

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