Market changes such as negative interest rates, OIS discounting and greater regulation around margining have made curve-building more difficult than it once was. In this unpredictable marketplace, firms that want to thrive need the flexibility to rapidly adjust their curves.
F3’s highly flexible curve-building enables you to precisely reflect your market view, and future-proofs your firm against unanticipated changes in market convention. F3’s modeling framework is self-consistent, supports multiple curves and currencies, and you can build curves from any market instrument using a variety of discounting models, including OIS, multi-currency CSA, Libor + funding spread — and without downtime or coding work.
How You Benefit
- Get Future-proof Valuation and Risk: Accurately value and risk manage derivatives, including MBS and interest rate derivatives impacted by negative interest rates
- Identify and Seize Profitable Trading Opportunities: F3 provides unmatched speed and flexibility for custom curve-building, helping you move fast on opportunities
- Protect Yourself Against Uncertainty: A highly flexible framework allows you to rapidly change your curve-building approach to accommodate issues like negative rates, OIS discounting and multi-currency CSA’s
- Gain More Control: Quickly and easily build models and curves that reflect your market view
- Multi-curve Construction: Advanced curve building allows multiple interpolation methods within a curve and the flexibility to control stochastic processes
- Sophisticated Curve-building : F3 enables you to efficiently build multiple types of curves for discounting from any market instrument using a variety of discounting models
- Unsurpassed Flexibility: F3’s calibration engine allows the combination of multiple models, market data and curve smoothing techniques to build advanced curves
- Advanced Modular Framework: Quickly and accurately price vituallly any instrument from vanilla to exotic, including hybrids and structured products
- Consistent Model Management: Centralized management of models, curves, data, and assumptions create an arbitrage-free view of the markets