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It was great to be on the Microsoft (MSFT) booth at the SIFMATECH conference in New York this week. This provided a great venue to demonstrate how the our F3 Platform is able to perform valuation, risk sensitivities, and hedging of a portfolio of diverse Assets and Liabilities calculations under a variety of market conditions and how this calculation can be deployed onto the Microsoft Azure cloud

In my previous post ( Part 4) of this series I explained how the index concept relates to complex payoffs. In this post I will define some higher-level Product types, all still Products, but with some specific structural features that makes expressing common derivatives convenient. LegA Leg consists of a collection of Flows, all made in the same direction and in the same currency. It is the

A big thank you to MATLAB for hosting the Computational Finance Conference at the NYC Marriott Marquis today. Many of the FINCAD Alliance Partners attended as well - it was great to speak with all of you. It is always interesting to hear the challenges that quantitative finance professionals are grappling with across all segments (hedge funds, banks, insurance firms, governments, asset managers)

Part 3 in the Financial Architecture series tacked the index concept, explaining the distinction between the definition of the value (the index concept) and the value itself. This post will further examine this topic, and explain how the index concept relates to complex payoffs. Derivative contracts often oblige parties to make payments that depend on a collection of underlyings in complex ways

In part 1 and part 2, I described how parties to a contract may be obliged to make payments and described the basic anatomy of a payment, but deferred the topic of exactly how the payment amount is specified, until now. The key requirement for the definition of a payment is unambiguous determination of the amount to be paid, when required. When the payment amount is determined and when the payment