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 2004

MB Risk Management (MBRM), founded in 1988, are pioneers and market leaders in analytics with 30,000+ users world-wide at major Investment Houses, Money Managers and Corporate Treasuries.

MBRM are pleased to announce major model enhancements to their Universal Add-ins Suite, including modules that analyses Exotic Interest Rate Products, Convertibles, Inflation Swaps and Index Linked Bonds, enhanced algorithms for Credit Derivatives, support for POWER options pricing and risk management, Globally Floored Cliques, Path Dependent Equity Basket.

A free fully functional 30 day trial can be downloaded from MBRM's internet web site:

The following postings in our online Support/Discussion forums mention some of the recent enhancements [accessible by supported users only; though non-supported trial users can see these features in action when they download the free trial].

In addition to the features in the postings listed below, we have also enhanced our support for IBM's enterprise wide 32 bit & 64 bit mainframes running AIX or Linux, including IBM iSeries (e.g. AS/400), IBM pSeries (e.g. RS/6000, 6xx Series), IBM xSeries (e.g. Netfinity), IBM zSeries (e.g. S/390).

In "UNIVLMM - Universal LIBOR Market Model Add-in" forum:
  UNIVLMM Version 9 can now be downloaded. Many new features, including :
+ Enhanced paramatization of volatility surface.
+ Enhanced speed of calibration using analytical derivatives.
+ Correlation matrix can be implied from swaptions.
+ Volatility / Variance Swap analysis.
+ For more details, please see the notes at the bottom of this page.
  "Re: Target Redemption Note (TRN) / Goal Note -- Additional sample .XLS"
  "Ver 8.4c : Volatility / Variance Swap using new sheet "Forward Swaption Grid""
In "UNIVCONV - Universal Convertibles Add-in" forum:
  "ver 9.0.1 of UNIVCONV can now return the Theta for equity option portion alone"
  "UNIVCONV Ver 9: Local Volatility Surface and Enhanced Analysis of DECS"
In "UNIVCMS - Universal CMS & Swaptions Add-in" forum:
  "UNIVSWAP/UNIVCMS New Ver 9: Enhanced Accuracy; Greater Speed; Longer Maturities"
In "UNIVSWAP - Universal Swap Add-in" forum:
  "Enhancement to tab/sheet "Asset Swap" of USAEXAMP.XLS"
  "UNIVSWAP/UNIVCMS New Ver 9: Enhanced Accuracy; Greater Speed; Longer Maturities"
In "UNIVYLD - Universal Yield Add-in" forum:
  "Ver 9 : Carry Analysis over repo time horizon; 'Treasury Convention' v 'Street'"
In "UNIVOPT - Universal Options Add-in" forum:
  "Ver 8.4b -- NEW : UOA_XIMPLIED_STRIKE_FROM_DELTA( ) to calc. the Strike from Delta"
  "New "C# Samples" can now be downloaded from MBRM's Download Center"
In "UNIVEXOT - Universal Exotics Add-in" forum:
  "New Ver 9.0.1 : MIN/MAX of 2 assets; Windowed Double KO with differing rebates"
  "Ver 9.0 : Enhanced Volatility Analysis in UNIVEXOT"
  "Version 8.4a : "Knockout rebate at maturity" now supported"
  "Ver 8.4a : UEA_XARRAY returns 2 extra elements for Asians: Mean & Vol of Average"
  "Ver 8.4 : Globally Floored Clique (new sample spreadsheet)"
  "Power options -- New .xls : UEA_POWER.XLS"
In "UNIVCDRV - Universal Credit Derivatives Add-in" forum:
  "New UCDA3_VB32.BAS example code for the new "3" functions introduced in 8.4b"
  "Ver 8.4b -- Enhanced Default Probabilities Array bootstrapped from CDS Spread fees"
In "UNIVVAR - Universal VaR Add-in "Value-at-Risk"" forum:
  "Ver 9: New C/C++ code for Diversified, Historical and MC VaR from closing prices"
  "New .xls : Path Dependent Equity Basket using UNIVVAR's UVA_SIMULATION( )"
In "MBRM Bond Futures "Cheapest To Deliver" CTD Analyser" forum:
  "Ver 9.0a : Enhanced Cash-Futures Arbitrage Analysis (inc. for CBOT contracts)"
**The following is a list of the new features of version 9 of the UNIVLMM:
1. New handling of the instantaneous volatility and correlation surfaces with the introduction of parametrizations for both, in order to guarantee smoothness. Alternative setup of the volatility surface with a user defined grid. New functions to setup and display both volatility and correlation. To use a grid is very intuitive and it allows the user direct control/fine tuning of the volatility used in the pricing. (See section 7.3 of this manual "Setting up The Volatility and Correlation Surfaces Using ULA_SETUP_VOLATILITY() & ULA_SETUP_CORRELATION()" and the tab/sheet "Interest Rates and Vol.s" of our sample spreadsheet ULAEXAMP.xls.)
2. Analytical derivatives of the target function (the average discrepancy between market and fitted prices) in the calibration of the model. This sometimes results in a faster calibration, especially when the solution of the previous day is used as starting point. (See section 7.6 "The calibration, functions ULA_CALIBRA() & ULA_CALIBRA2()" and the "LMM Calibration" and "Alternative Calib. from LIBOR Vol.s" tab/sheets of our sample spreadsheet ULAEXAMP.xls.)
3. Implicit calibration of the correlation surface (with analytical derivatives of the fitness function). - This offers the user the chance of a "quick" calibration, without having to deal with historical data. (See "Correlation Surface" of our sample spreadsheet for an example of a fitted correlation surface.)
4. Arbitrage free calibration of an array of LIBOR rates, when the calibration of the swaption grid is not needed. This offers the advantage of an instantaneous match to observed caplet volatilities with a very smooth function. (See "Alt. Calibration from LIBOR Vol.s" of our sample spreadsheet.)
5. More sophisticated approximation of the swaption analytical formula to deal, in particular, with swaptions with reset periods multiple of the period of the underlying LIBOR rates. This produces a closer match to swaption prices obtained from Monte Carlo simulations. Also, it enhances the reliability of the calibrator, which uses the analytical formula. (See section 7.8.3 "ULA_CAPS_AND_SWAPTIONS() for European style swaptions" and the tab/sheet "Swaptions and Flexible Pricer" of our sample spreadsheet ULAEXAMP.xls.)
6. Analytical calculation of the sensitivities in the pricing functions of caps/floors, swaptions and related instruments (rather than a simple numerical approximation of the derivatives). This is faster, and a closer match to the Black formula. (See section 7.7 "CAP / COLLAR / FLOOR / CORRIDOR / DIGITAL ANALYSIS using function ULA_CAPCOLFLR()" and the tab/sheet "Caps Floors Collars Corridors" of our example spreadsheet ULAEXAMP.xls.)
7. More efficient Monte Carlo simulator. In the pricing of any instrument, this version will only simulate those LIBOR rates that are directly implicated in the payoff. For instance, dealing with a Monte Carlo pricing of a swaption, all the LIBOR rates that reset prior to the expiry of the option are not entering the simulation. With a 4 x 4 swaption, this will halve the time of the pricing. - This version offers the option to repeat the PCA at every step of the pricer, in order to adopt a more accurate correlation (though, at expense of more computational time). (See function ULA_SETUP_CORRELATION() in "Interest Rates and Vol.s" tab/sheet of our sample spreadsheet.)
8. There are two new types of range accrual swaps, to deal with notes quantoed into a different currency (for instance, a Zero Multi Callable note which accretes with the five year Euro Yield quantoed into Sterling… and so on). Moreover, coupons may be paid at the end of each accrual period or carried forward, with or without compounding. Also, the function for the callable quanto range accrual may take in input a full cross-currency correlation matrix. (See section 7.13 "Callable Quanto Range Accrual Swaps" and the tab/sheet "Callable Quanto Range Accrual" of our sample spreadsheet.)
9. A new function to price Digital FX (Linked Multi-Callable) Notes, ULA_DIGITAL_FX_LINKED_MC(). It is similar to the script accrual swap, but the underlying is an FX rate. Also, this function may take in input a full cross-currency correlation matrix. (See section 7.15 "Digital FX Linked Multi-Callable Note" and the tab/sheet "FX Digital" of our example spreadsheet ULAEXAMP.xls.)
10. There is a second, more detailed, trigger swap function, ULA_PRICE_TRIGGER_SWAP2(), that works with generic swap rates for the trigger and the coupon rate, in place of the simple LIBOR rate. This function also takes in input a credit spread value/curve, in order to account for the risk of the option holder. (Cf. section 7.11 ULA_PRICE_TRIGGER_SWAP( ) and ULA_PRICE_TRIGGER_SWAP2() and the tab/sheet "Exotics" of our sample spreadsheet ULAEXAMP.xls.)
11. The script accrual of section 7.14 Callable Range Accrual Swaps / Notes (Script) replaces the upper/lower strikes and the fixed/floating coupon payments with arrays, in order to prices more detailed instruments.
12. A number of pricing functions have been enhanced to take in input an extra parameter for the credit spread curve (annualized), in order to account for the risk of the bond holder. The functions involved are those to deal with trigger swaps, cash flows, quantos and accrual swaps.
13. Compatibility with other platforms: Solaris, Linux, IBM AIX, IBM zSeries (e.g. S/390), and IBM iSeries (e.g. AS/400), IBM pSeries (e.g. AS/6000, 6xx Series), IBM xSeries (e.g. Netfinity).
Previous [index] Next