FINCAD, the market leader for innovative derivatives solutions, announced today the launch of F3 3.0. The new release includes important enhancements such as market correlation calibration for hybrid modeling and dual-curve stripping capabilities consistent with the cross-currency market including cheapest-to-deliver curve construction.
The new F3 hybrid modelling technology provides a unique ability to use market observables to calibrate the incremental instantaneous correlation matrices. This new functionality offers more effective pricing and the intuitive design offers an easy to use solution for all analytics users.
F3’s enhanced dual-curve stripping for OIS and Libor rates as well as cheapest-to-deliver discounting for multi-currency CSAs take into account meeting dates such as ECB, smoothing methodologies and turn pressure.
With this release, further functionality enhancements now allow for more intuitive and rapid creation of cancellable swaps, convertible and callable bonds where observation dates can be based on roll dates and not explicitly defined.
“The calculations for pricing derivatives and measuring risk are becoming increasingly complex under regulatory reform. Collateral requirements and capital charges will not only transform the industry but change the day-to-day pricing of instruments and portfolios,” Adam Sussman, Partner, Director of Research, TABB Group. “In order to capitalize on these changes, derivatives traders need a flexible and highly accurate approach to risk measurement.”
"With over 20 years of domain expertise, we are dedicated to continued innovation of our products to best equip our clients to address the challenges of today’s market,” said Bob Park, President and CEO, FINCAD. “The new F3 functionalities are beneficial to users looking to evaluate the impact of derivatives pricing with different discounting methodologies or for identifying optimal modeling choices. The cheapest-to-deliver curve functionality will construct a curve based on specific collateral agreements and numeraire currencies.”