Derivatives

The Calypso® Derivatives solution is ideal for financial institutions looking to organize and manage all their derivatives products together. This solution combines the derivatives products from Credit Derivatives, Interest Rate Derivatives, Fixed Income, Foreign Exchange, Equities and Commodities into one packaged solution.

Comprehensive Derivatives Trading Features

Traders utilize a real-time blotter to manage new and existing trades, with the ability to customize views, configure trade speed buttons and produce risk reports with a single click of the mouse. Calypso provides out of the box analytics as well as enabling seamless integration of proprietary or third party valuation analytics into the Calypso® platform. Market data includes the full range of price quotes, curves and surfaces needed to value derivatives, including zero curves, basis curves, repo curves, volatility surfaces, correlation matrix and real time feeds.

Real Time Position and P&L Management

Trades and market data are updated in real-time with the update frequency defined by users with full drill down capability. Calypso includes standard, commonly used reports such as Hedge; P&L; Cash Flow Projection; Mark to Market; Interest Rate and Volatility Sensitivity.

Integrated Cross Asset Risk

A “What-If” analysis tool provides traders with the ability to see the impact on positions before a trade is placed. Simulated trades can be included within risk analyses to determine the effect on positions before they are executed.

Straight-Through Processing

All products are processed in a single system. Processing (confirmation, settlements, messages, accounting) in Calypso® is automated unless there is an exception or users choose to insert a break-point in the process. Processing is driven by Calypso workflow framework. Accounting to the sub-ledger level is available for all derivatives products, including hedge accounting for FAS133 and IAS 39. In addition access permissions and full audit capabilities on any trade give users the necessary control required.

Asset Classes Covered

Foreign Exchange Derivatives
Fixed Income
Interest Rates Derivatives
Credit Derivatives
Equity Derivatives
Commodities