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MBRM
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

MBRM PRESS RELEASE
http://www.mbrm.com

Nov 2011

MB Risk Management (MBRM) are pleased to announce the release of the Universal Add-ins version 10.2.09 [Ref: FIN35K-MT-DS] dated 21-Nov-2011, which includes the launch of version 10.2.04 of UNIVINT - Universal Interpolating Add-in.

In this release, the following two interpolation methods were added to UNIVINT - Universal Interpolating Add-in. These new interpolation methods are thus also callable from other modules that utilize MBRM's UNIVINT library, such as:

  • UNIVSWAP - Universal Swap Add-in
  • UNIVCMS - Universal CMS & Swaptions Add-in
  • UNIVLMM - Universal LIBOR Market Model Add-in
  • UNIVCONV - Universal Convertibles Add-in

The new interpolation methods (which would be applied on the yield curve, and not the discount factors) are :

  • 5 - Monotone Convex
       (i.e. Interpolation Technique = 5, Interpolation Curve = 2)
  • 6 - Monotone Convex (Positive Forwards)
       (i.e. Interpolation Technique = 6, Interpolation Curve = 2)

For advantages of monotone convex interpolation, please see the article titled "Methods for Constructing a Yield Curve" from the May/June 2008 edition of WILMOTT magazine. As mentioned in this article, this method has advantages over cubic spline and exponential interpolation. For example, the article mentions:

  • All input instruments to the bootstrap are exactly reproduced as outputs of the bootstrap.
  • The instantaneous forward curve is guaranteed to be positive if the inputs allow it (in particular, the curve is arbitrage free).
  • The instantaneous forward curve is typically continuous.
  • The method is local i.e. changes in inputs at a certain location do not affect in any way the value of the curve at other locations.
  • The forwards are stable i.e. as inputs change, the instantaneous forwards change more or less proportionately.
  • Hedges constructed by perturbations of this curve are reasonable and stable.

For full technical details about this release, please visit the online support/discussion forums and searchable support knowledgebase of the MBRM Web Service:

http://www.mbrm.com/asp

COMPANY PROFILE

MBRM, an FSS - Financial Systems Software company, was founded in 1988 by Dr. Mamdouh Barakat. Prior to this, Mamdouh was a quantitative analyst with Drexel Burnham Lambert. He has also held the post of Senior Managing Director of Philadelphia based FNX Limited, who provide global risk management systems to the largest institutions in the world. He received his doctorate, in the field of Artificial Intelligence (AI) in Simulation Modelling from the London School of Economics.

MBRM are pioneers of the financial add-in and toolkit market segments. They are developers of the most widely used derivative software. MBRM have been continuously providing leading edge analytical solutions since 1988 and have one of the longest successful track records in the industry. MBRM regard this as essential since every sale is the start of a long term partnership. The Universal Add-ins are used for the pricing, risk management, trading, fund management and auditing of securities, options, futures and swaps in the fixed income, commodities, equities, foreign exchange and money markets.

Their software is used world-wide by over 30,000 users at major Investment Houses, Money Managers, Corporate Treasuries and by sophisticated private investors. http://www.mbrm.com/client_list.shtml, which lists just SOME of MBRM's users around the World, is like a Who's Who of market participants.

The Universal Add-ins are supplied as Dynamic Link Library (DLL) toolkits which are fully integrated with Excel and Windows. They can also be used as libraries for in-house applications, including those developed in Visual Basic, Microsoft Access Database, C or C++. The software can be linked with most real-time feeds to provide a dynamic analytical environment. This object-orientated building-block approach provides unequalled speed, cost-effectiveness and flexibility. Technical support from MBRM is excellent since the software has been designed and implemented in-house.

A free fully functional 30 day trial can be downloaded from their Internet web site: http://www.mbrm.com

MBRM also provides source code and analytical consultancy to integrate its technology into existing in-house systems. This provides an alternative to either developing the software in-house, or buying in a potentially inflexible third party system. By sharing its analytical techniques with many clients, MBRM can assist you in building a low cost in-house solution with world-beating analytical tools.

Additionally, MBRM provides customised risk management training which uniquely combines analytical excellence with technology solutions, at either their or the clients premises. This would be tailored to the backgrounds of the participants, whether they are traders, technology or internal audit professionals. This could include solving real life problems with which the participants are struggling.

MBRM's full brochure, including price list (page 22) can be found at:

http://www.mbrm.com/broch.pdf

Their latest price list can also been found at: http://www.mbrm.com/pricelist.shtml

For further information, please contact our Sales Team

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