Callable trigger PRDC

Callable Trigger Power Reverse Dual Currency products are now fully available in ACUMEN, both in terms of input and pricing. These deals are similar to trigger PRDC except that the deal is callable on the first coupon dates.

They are active at swaps and bonds levels.

Gold lending

Thanks to the addition of a currency for interest amount in short term legs, money market gold (or commodity) lending and borrowing operations, including renewal facility,  can now be fully managed by ACUMEN.

Repo collateral coverage

Collateral management on a deal by deal basis is now available at the repo level, with new information showing the collateral coverage, calculated real time based on market data.

Complex deals

Several improvements have been brought to the complex formula function in deals. First of all, the list of available functions has been extended, so that it is possible to index the current value of a coupon on the past fixing values. Then, a calculation function allows to see the intermediate values of the formula as at the different fixing dates. And finally, a on-line help function eases the input of a formula, providing the list of all possible variables.

Filtering of results in modules

It is now possible in the main ACUMEN modules (CASHFLOW VALUATION and its sub-modules, PV PER LEG, DURATION, GAP, INPUT BLOTTER, VIEW PAYMENTS and ACCRUED/INTEREST INCOME) to filter results according to portfolio and counterparty information. It allows for example to run a global valuation and then to extract a specific analysis corresponding to a chosen counterparty, trader, etc.

Portfolio limits

In the real time management of portfolio limits, it is now possible to define limits that prevent short positions as well as limits in terms of percentage of a position. This latter function allows for example to monitor the composition of a fund, so that it contains at least 50% of government bonds and no more than 15% of equities.

Information Server Multi-Thread

The Information Server now benefits from the multi-thread technology, allowing to manage several tasks together, such as the saving of rates and the reloading of rates on another date, etc. Moreover, it is possible to resend all rates to connected users and ease their monitoring.

GUI

The Graphical User Interface has been changed from OIT41 to Presenter 4.3 (new name and release of the product, now maintained by HCL Technologies). ACUMEN is now fully Windows XP compatible including look, use of the wheel mouse, etc..

Centralisation of report definitions

The definition of reports printed from valuation modules are already centralised in the database. Reports defined on queries (from the ACUMEN SELECTION module) are now also stored in the database, access rights management allowing only the owner to modify his/her configuration.

Accounting interface

ACUMEN provides interfaces to standard Back Office systems. In addition to the recent interface to Flexcube from I-flex, our SAP interface is now available and running live on one of our site. It allows to manage accounting figures of deals and positions, with a user-defined set-up that is done through a dedicated table.