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


May 1999

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

The new module implements the cutting edge 2-factor "Brace-Gatarek-Musiela" (BGM) model to price and risk manage interest rate derivatives. The system automatically calibrates the BGM interest rate model to any of the traded instruments (e.g. swaptions, caps, floors, collars, corridors, digitals), including fitting expected correlations between different parts of the curve.

MBRM have been working on this new 2-factor module for the last year and have dedicated a considerable amount of time and resources in ensuring the calibration and pricing are lightning fast.

The BGM model, whilst working in a Heath-Jarrow-Morton (HJM) framework, has an advantage over standard 2-Factor HJM models in that the BGM model provides analytical solutions to Cap, Floor and Swaption prices. The BGM model also has advantages over standard 1-Factor models in that the BGM model provides a more flexible fit to the market behaviour. Unlike a 1-Factor model, it does NOT implicitly assume a perfect correlation of 1 between short and long term interest rates.

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

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 details, please contact our Sales Team

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