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


Jan 2002

MB Risk Management (MBRM) are pleased to announce the addition of major new features to their multi-factor "Universal LIBOR Market Model Add-in" for EXOTIC interest rate derivatives.

The following are just some of the new features in the new version :

  • Trigger Dual Knock-In And Knock-Out Swaps - Including Trigger Inverse Floaters. Additional exotics with custom payoffs can be quickly added to the system.
  • American and Bermudan options on QUANTO'd Cash Flows. This allows for differing interest rates curves for the discounting back of payoffs e.g. for quantoing a payoff in a different currency or where the option purchaser's funding cost is different than the borrowing costs of the bond's issuer. Probability of exercise at each exercise date is also calculated to assist in cash flow forecasting and Asset Liability Management (ALM).
  • Enhanced Interest Rate Skew handling for improved accuracy in pricing and hedging out-of-the-money interest rate derivatives.

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

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, Delivery Options in "Cheapest To Deliver" (CTD) Bond Futures and Exotics Interest Rate derivatives such as AutoFlex Caps, Reset Caps, Trigger Knock-out/knock-in Swaps/inverse floaters and Spread Options. The system automatically calibrates the multi-factor interest rate volatility term structure to traded instruments (e.g. swaptions, caps, floors, collars, corridors, digitals), including fitting expected correlations between different parts of the curve.

The new models have an advantage over standard HJM models in that the new models provides analytical solutions to Cap, Floor and Swaption prices. The new model also has considerable advantages over 1-Factor models in that the new model provides a more flexible possible range of future movements, e.g. the yield curve can steepen, flatten or swivel.

MBRM are constantly striving to enhance their models and increase the competitive edge of their users. This new upgrade, which incorporates very sophisticated cutting-edge theory and practice, is a prime example of MBRM's corporate goal of maintaining and consolidating their market leadership in the analytical library / toolkit sector (which covers convertibles, fixed income, commodities, energy, equities, foreign exchange and money markets).

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.

For further information, please contact our Sales Team

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