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New SimCorp Dimension task/project
Online SimCorp Dimension Support & Development
Project planning
Validate/Audit concept
System performance
LDI hedging engine: KRD, DV01
Currency (FX) risk hedging engine
Index Tracking & Portfolio Rebalancing engine
Cash flow forecast engine: matching, CDI
IRS swap daily pricing engine
Bond Forward (OTC) daily pricing engine
Swaption (OTC) daily pricing engine
Automatic data management

Swaption (OTC) daily pricing engine

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.

Fast

Swaption’s prices and risk ratios are integrated into all activated/installed calculation engines/setups. They don’t require the manual interference. Fully automated

Independent

  • With in-house valuation there is no need to acquire market data from external data vendors anymore
  • prices, durations and exposure values can be used for construction of own interest rate (LDI) and credit risk hedge strategies

High-Quality

Solution supports theoretical model and a model without volatility curve