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


Aug 2001

MB Risk Management (MBRM) are pleased to announce the launch of a major upgrade to their Universal Credit Derivatives Add-in.

Dr. Barakat, Managing Director of MBRM, says "We aim to make our credit derivatives library as easy to use as our standard option models. This upgrade is the latest in a continuous stream of upgrades to our Universal Add-ins range and closely follows last month's launch of our Universal LIBOR Market Model Add-in which implements the cutting edge multi-factor LIBOR Market Model. We aim to release 12 major enhancements per year - which is necessary to maintain and consolidate our market leadership in the analytical library / toolkit sector (which covers convertibles, fixed income, commodities, energy, equities, foreign exchange and money markets).

The feedback and suggestions from our global clients is an essential component in our development process which enable us to maintain our software at the cutting edge of the diverse markets we are in".

The new version 8.3 of UNIVCDRV - Universal Credit Derivatives Add-in implements a new set of functions for more complex credit derivative analysis. These allow :

  • Credit Default Swap Fees to be paid in advance or in arrears.
  • Different credit spreads for the Fee Receiver (Insurer) and the Fee Payer (Insured) to be specified.
  • Amortization Schedule to specify roller coasters (e.g. irregular amortizations & accretions).
  • Increased flexibility in the definition of fee payment dates and payment cycles.
  • Additional accrued types to be specified.
  • Additional interest rate interpolation techniques for increased accuracy.

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.

The 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.

For further information, please contact our Sales Team

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