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Derivatives

FM Converge has been designed around front office and risk management requirements for cross-asset derivatives and structured products. In addition to its extensive suite of out-of-the-box models and analytics, the system allows fully transparent integrations of external models with minimum effort and in very short periods of time.

Out-of the box models and analytics involve:

Models

  • FX/EQ – Black (GK), Vanna Volga, SABR, Heston, Local Vol, Local Stochastic Vol (Mixing fraction), Monte Carlo with GBM for Equity Exotics
  • IR – Multi-Curve Framework incorporating OIS Discounting, Tenor and Cross Currency Basis
  • IR Options – Black, Shifted LogNormal, SABR, Hull White, Bachelier
  • CR – Arbitrage free, Gaussian
Greeks and Sensitivities
  • Spot Delta, Forward Delta, Gamma, Vega, Theta, Rho, Phi, PV01, Vanna, Volga
IR Analytics
  • Par and Zero sensitivities, Cash-flows with estimation, fixing risk, notional bucketing, hedge recommendations, etc.
FX/EQ Analytics
  • Greeks Bucketing, Deal Summary YTD P&L, Carry Reports, Delta/Theta/Vega Analysis, Spot Vol Matrix, P&L Attribution
Goal seek across a trade or a structure
  • For example able to buy and sell Options where the system solves for a strike for a targeted P&L or Vega or a specific aggregate Greek across strategy
Market Data Viewer
  • with editing and access based volatility marking
User defined settings
  • Premium Adjustment, ATM Forward or Delta Neutral Straddle
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