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In the press > October 2003

LOGIN announces a new STRUCTURED DEALS PRICING FACILITY in its ACUMEN system

Among the recent developments in Acumen, the Structured Deal Pricing Facility (SDPF) is the one which is the most powerful. To make it short, it allows to link Acumen with external spreadsheets and functions performing the valuation of structured and exotic deals and returning calculated results in Acumen reports.

The initial aim of this development was to allow our customers to keep confidential pricing models, incorporating results in Acumen without having to provide the pricing algorithms. The principle was to let the customer develop an external spreadsheet, Login providing memory items of Acumen (rates and prices), database items, and calculation functions which were up to now totally internal (discount factor function, spot date function, volatility function…). The final calculated results (present values, sensitivities, etc…) were read by Acumen and used in the different modules.

We then expanded this idea to provide our users who had no time, experience or dedicated teams, with a fully developed, off-the-shelf spreadsheet with a Visual Basic pricer, to cope for new exotic or structured deals. We started with the pricing of an "Asian Equity Index Linked Note", then a "Digital Spread CMS Swap", followed by a "FX Trigger linked PRD Note" (PRD stands for Power Reverse Dual currency) and a "Multi Callable Super PRD". Thanks to the SDPF development, using Login's internal Research team, this client benefits from the addition of four new complex deals on an excellent time and cost efficiency basis.

SDPF allows to develop a pricing model in a very flexible way, so that it can be very easily used in the pricing of other similar instruments. Also, any time a deal is too complex to be input in standard Acumen masks, an unlimited quantity of additional data (dates, prices, codes…) can be input in a table dedicated to SDPF. Moreover, the delivery (spreadsheet and functions) is totally disconnected from the Acumen release and has no impact on the main software (no Acumen source is delivered with the SDPF sheet). Last but not least, another advantage of SDPF is to allow the use of new calculation models for each deal, like 3-factor models, Monte Carlo approach, etc, all derived and tested by our dedicated Research department.

If you require further information on this development, do not hesitate to contact us: