Products

Financial Instrument Coverage

RE covers a large set of instruments from financial and non-financial portfolios in different industries:

  • Equities:
    • Share
    • Fund
    • Commodity
    • Index linked
    • Index linked cash
    • Private Equity
  • Capital instruments with optionally embedded spread risk:
    • Bonds: straight, floater, inflation
    • Money markets: bullet, capitalization, rollover
    • Loans: annuity, regular (fix, float)
    • Deposits: Savings, user defined
    • Swaps: FX, CC, IR (fix/fix, fix/float, float/float)
    • UVG
    • Other: cash accounts, CDS, credit line, FRA, FX Outright,
    • User defined by RBI
  • Derivatives:
    • Option on bond future, commodity, FX, IR, stock, stock index
    • Swaption
    • Cap / Floor
    • Future on bond, commodity, FX, IR, stock index
    • CFD on instrument, stock index
    • User defined by Rule Based Instrument (RBI)
  • Modeling and pricing of structured products and exotics by the RBI (Rule Based Instrument)
    • A multi-factor trigger market defines market factors on future time points
    • Expectations for future values, volatility and correlation are used in trigger market simulation
    • Free behavior definition of structured products based on pay off expressions
    • Simulation of price distributions, calculation of mean, risk and other figures
  • Modeling and pricing of structured products and exotics using the Multi-Factor approach
    • A sub-set of known market factors (rates, prices, indexes, etc.), with time series, is selected from a large set of factors, using similarity search to target product time series
    • A regression is then used to find a pricing expression, including known factor sub-sets, weights and functions, such as exp, log, power, etc.
    • The pricing expression replicates the product’s historic behavior and can be used for pricing and for the calculation of the instrument’s future behavior.