You have swaptions, present in client portfolios/funds, and the daily prices and durations are acquired and imported from external data vendors on a regular basis. However, you experience difficulties in integration of acquired data into your interest rate risk LDI hedge strategy within SimCorp Dimension system. Besides, you would like to be able to report the cash flows, duration and exposure for this instrument type fast, regularly and independently from external data vendors.
We have a new solution for you: our Swaption (OTC) daily pricing engine is integrated into LDI, Cash Flow, Duration & Exposure calculation engines in order to provide you with the reliable data for construction of hedge strategies on a regular basis.
Take a control over swaptions pricing quality, and measure the related interest rate &credit risk effectively.
Swaption’s prices and risk ratios are integrated into all activated/installed calculation engines/setups. They don’t require the manual interference. Fully automated
Solution supports theoretical model and a model without volatility curve