VANCOUVER, BC, September 15, 2021 - FINCAD, a pioneer in providing pricing, modeling, and risk analytics, today announced the latest version of its industry leading FINCAD Analytics Suite products. Leveraging its library with the broadest asset class coverage in the market, FINCAD Analytics Suite’s new features and enhancements released today supports clients’ preparation for the end of LIBOR with functions that allow for valuing trades on overnight risk-free rates (RFRs), together with utilities and enhancements to support Libor Fallback rates. Additionally, finance professionals can continue to model derivative instruments from the most basic to exotic structured products with custom analytics and a new Python enabled user interface for FINCAD Analytics Suite for Developers.
The end of Libor is in sight. The sunsetting of Libor, which has amassed an incredible 370 trillion in outstanding notional values, with 150 trillion concentrated in interest rate derivatives, is proving challenging. Millions of contracts with hundreds of banks need to be retooled and financial models updated. The need for precise, transparent, and scalable solutions for pricing derivatives and fixed-income products has increased exponentially.
“In the last month alone, we’ve seen the rapid adoption of alternative reference rates, including the agreement to reference Libor replacements in cross-currency basis swap contracts effective from September. We have also experienced more complexly defined SOFR and SONIA referencing loans and bermudan swaptions on Libor replacement indices, ” said Mark D’Arcy, President and CEO, FINCAD. “The recent set of enhancements to FINCAD Analytics ensure that customers are equipped to adapt to rapidly changing markets.”
FINCAD’s best-of-breed technologies, including FINCAD Analytics Suite optimize risk and return through simplified and direct control over the valuation and analytics of derivatives, with the widest range of instrument capabilities in the market. From the most basic structures to bespoke ones, FINCAD has the financial engineering expertise to address the challenges of the Libor Transition.
“Moving away from Libor has turned the question to how trading in SOFR instruments will evolve; having the right analytics tools will be critical to navigating success,” added D’Arcy. “These enhancements reflect our continuous commitment to our customers, enabling them to operate with confidence in the changing markets.”
Expanded support for Libor replacement indices:
- Floating rate loan pricing referencing customizable compounded overnight rate indices, with lookback, lockout, payment delay, observation shift and rate floor as applicable along with support for 30d/90d/180d set in advance rate types.
- Cross currency basis curves and swap pricing for recently announced Libor replacement indices.
- Calibrate the one-factor and multi-factor Hull-White short rate models to price European/ Bermudan/American swaptions and cancellable swaps on RFRs.
Enhancements to support the Libor Fallback:
- Curve enhancements for calculating Libor Fallback curves which can be applied to existing Libor notes, swaps, swaptions and structured/exotic trades.
- Pricing enhancements for Libor notes, swaps, swaptions and structured/exotic trades to support Libor Fallback spread adjustment.
Python related enhancements to FINCAD Analytics Suite for Developers:
- Python-native capabilities such as pip install and integration tools.
- Extensive documentation and developer usability tools for building solutions quickly and easily.
For more information about FINCAD’s latest version of Analytics Suite, download the release highlights.
Backed by more than 30 years of experience, FINCAD is a pioneer in providing pricing, modeling and risk analytics to financial institutions such as asset management firms, banks, insurance companies, hedge funds as well as over 75 Alliance Partners. From the most basic to the bespoke, FINCAD has the financial engineering expertise to address any derivative challenge. FINCAD empowers global organizations to optimize risk and return through simplified and direct control over the valuation and analytics of derivatives. With the most precise, transparent and scalable technologies for pricing derivatives and fixed-income products, FINCAD’s highly dedicated customer support team goes above and beyond to help customers achieve their goals. FINCAD is headquartered in Vancouver, Canada.
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