New exotic deal pricing

Through our powerful API tool, it is now possible to price the following structured deals in ACUMEN:

• Snowblade deals, which are similar to Target Redemption Notes (TARN) with an additional feature: the coupon of the period is linked to the previous one;

• Range Accrual Notes, for which the coupon is based on the number of days where the floating rate index is within a pre-defined range.

• Bullet snowball swaps: these are non callable snowballs (current coupon linked to the previous one);

• A trigger PRDC for which the coupon and the nominal are not in the same currency.

Also, to simplify the input of exotic deals, a new automation function has been setup to default the specific details required in the input of an exotic deal. The defaults are based on the valuation model and the portfolio level. The exotic field types and values are defaulted, easing the input process of complex structures.

These functions are included in the API license.

Inflation linked bonds

Inflation linked bonds following the “UK valuation model” are now available in ACUMEN. The differences with the “Canadian” model is that the market price takes the inflation into account, and that the future cash-flows are estimated based on a "Forward inflation assumption".

Automatic close of position

We have included a deal capture function in modules where positions are reported to ease the closing or opening of positions. When Bond, Futures or Equity outstanding positions are reported, a click on the mouse allows to automatically create a new deal with almost all data automatically filled in. The amounts, side, portfolio, etc are defaulted but can be changed. So now, only one screen is necessary to view and report positions as well as to trade on the market.

Bond price calculation

For illiquid bond markets, LOGIN has developed a new feature in Acumen in order to calculate the bond price out of a repo curve : the bond yield can be derived from the repo curve and is used to compute the corresponding bond price. The way the bond yield is calculated from the repo curve is user defined: it can be interpolated, or Acumen can use the repo rate with a maturity just before or after the maturity of the bond. This allows to value bonds marked to market even when no price is available.

ACT/ACT day count method

To ease the matching of flows for asset swaps, a fourth calculation basis Actual/Actual has been created, in addition to the ISDA, ISMA and French rules. This one corresponds to the existing ACT/ACT accrued rule. Moreover, a new accrued rule has been created to match the historical ACT/ACT ISDA basis.

Remote access to servers

The MONITOR application now allows to see and control the INFORMATION SERVER (IS). Everything which can be seen on the IS can now also be visualized remotely. The function allows to fully monitor all events on the IS and to detect potential problems without having to be in front of the PC that runs this server.