Forex

In the FX market, especially for forward forex operations, it is common for customer deals to change the operation during the life of the deal, in the following ways:

• With a Total early termination;

• With a Total extension of the deal;

• With a Partial early termination;

• With a Partial extension of the deal.

It is now possible to perform these actions using the RENEWAL module on forex trades. This module shows on its main page the FX trades maturing in the interval specified when starting the module. When choosing to Extend or Early Terminate an FX trade, a new mask opens, containing the same information as the original deal, except the trade date. The Maturity date, the Nominal amount and the Exchange rate of the deal can be changed. After confirmation of this new deal,

• If it is an extension, ACUMEN will create a new deal with the characteristics just input and update the original deal to set the trade cancellation date and cancellation date to the trade date input in the deal;

• If it is a partial termination, If the nominal amount of the new deal is smaller than the original nominal amount, a new trade is created to replace the part which is neither extended nor early terminated of the original deal (same information than the original deal, except the "Nominal1" and "Nominal2" fields).

Bond

It is now possible to input bond deals based on their discount rate, using the American method, like it was already possible for CPs (this applies to short term bonds, usually Treasury Bills). In the bond deal, instead of inputting a price or a standard yield, the discount rate can be input. The corresponding price and yield will be calculated.

As a reminder, the settlement amount of an American discounted T-Bill is calculated as:

NominalAtMaturity x (1-(DiscountRate x NBdaysPeriod/NbDaysTotal)

While for a European Discount paper, it is:

NominalAtMaturity/(1+(DiscountRate x NBdaysPeriod/NbDaysTotal).

So for example, for a deal value date 09/04/07, maturity of the bond on 29/10/07 (203 days), the calculation is as follows:

Price= [10M / (1-2,950094 x 203/36000)]/10M x 100

or

Price = [10M / (1 + 3 x203/36000)]/10M x 100

Where 3% is the yield whereas 2,950094% is the discount rate. The yield is in this example expressed on an ACT/360 basis.

Futures Deals

Discounted futures are now managed in ACUMEN.

The PV as cash flow is computed as follows:

• the cash flow occurring on the maturity date of the underlying is equal to the nominal, the cash flow occurring on the value date is computed as: Nominal / (1+(Deal yield x Futures period x 30/360or 365)). It is 360 or 365 according to the Future type calculation basis.

The PV as instrument is computed as follows:

• (Nominal / (1+(Market yield x Futures period x 30/360 or 365)))-(Nominal / (1+(Deal yield x Futures period x 30/360 or 365))).

The daily margin call is calculated using the above formula between the open and closing price (yield), thus the tick value is not used.

Scenario Analysis Module

A new sub-module of the CASHFLOW VALUATION module is now available: "Scenario Analysis". It allows computing options premium and theta according to a change in both the yield curve and the volatility matrix. Results are displayed in a board made of 5 lines and 5 columns and linked to one combination of a yield curve and a volatility matrix. Each cell shows the difference between the initial PV (or theta) of the deal (or selection) and the new PV (or theta) recomputed after a change of both the yield curve and the volatility matrix. Basically, the yield curve and the volatility matrix are shifted by a percentage (standard deviation) input in a specific table. Five scenarios are then created according to this figure : standard deviation applied once and twice in a positive way, and then no change. With this principle applied on both volatility matrices and yield curves, this leads to 25 different calculations.

Bond-Equities

It is now possible to upload security definitions from Bloomberg. It allows creating an ACUMEN database of bonds and equities by using the Bloomberg information.

• At the user end, a specific window allows to input the desired security code using its Bloomberg reference (ISIN for example).

• The program will call Bloomberg and ask the details of the relevant security. It will receive the security description in a specific format, translated by the program. A dedicated interface will then upload the bond definition into ACUMEN.

The user just needs to check the imported data and can then use the underlying security for trading purposes.

API

Three new tables have been added:

"Model_def", "Pricing_model" and "Pricing_method":

• "Model_def" allows inputting rules to link deals to models and parameters depending on the user, the user model and the currency. The table has as well 15 parameters columns: Quality, Lambda1, Lambda2, Correlation, Auto Calibration and 10 free parameters;

• "Pricing_model" and "Pricing method" allow giving names to pricing methods and models.

The goal is to allow different users to value the same deals with different valuation methods and different parameters.

Settlement Instructions

It is now possible to default the settlement instructions of a deal based on portfolio allocation.

In a first step, all portfolio fields have been added in the "Account" and "Account per counterparty" tables. If any of these fields are filled in, they are used as criteria. An account, account per counterparty and custodian will be defaulted only if the portfolio information of the deal corresponds to the portfolio information indicated in the account tables. These criteria are taken into account in addition to the previous criteria (currency, type of deal, counterparty).

Calendars

It is now possible to define the specific rules that apply per country when a bank holiday falls on a weekend day. New options have been added in an "Adjust for Holidays" panel for the definition of a default calendar: 'None', 'Prec.' or 'Succ.'.

It allows properly managing the various types of bank holidays. For instance:

• US case: if a legal holiday falls on a Saturday the Friday is closed, if it falls on a Sunday then the Monday is closed;

• UK case: if a legal holiday falls on a Saturday or on a Sunday then the Monday is closed;

• Euro case: in any case there is no adjustment.

In addition to that, several changes have been done in the definition of default calendars to account for Caribbean legal holidays, but also 'Ash Wednesday' (it is the day following the Shrove Tuesday) and several Japanese holidays.

Interface

Several keywords have been added to allow the management in interface headers :

• $xxSUMCOLyy displays the sum of the values from a particular column of the interfaced table, where ‘xx’ stands for the number of digits to display and ‘yy’ for the number of the column in the interfaced table;

• $DATESHT displays the current date with the YYMMDD format;

• $xxMAXyy displays the higher value found in the yyth column of the interfaced table among the selected records, with xx standing for the number of digits to display.