Wall Street Systems launches interest rate derivatives module

Wall Street Systems launches interest rate derivatives module

Wall Street Systems is to showcase its new interest rate derivatives (IRD) module at the Risk 2002 Europe conference held in Paris this week.

The IRD module extends the functionality of The Wall Street System treasury engine to include option pricing, market data capture and analysis, risk management and portfolio management for interest rate derivatives.

The module supports a wide variety of option pricing models, including models that provide analytic and numerical convexity adjustments for non-standard products, and multiple term structure models for products such as Black-Derman-Toy, Hull-White and Black-Karasinski models.

Also included in the module are trade analysis tools and solvers to analyse and structure trades and imply trade and market parameters according to user goals. A distributed, parallel processing engine provides unmatched pricing and risk management performance for large books and complex trades.

The IRD module has tools for building and analysing discount curves, cap volatility surfaces, swaption volatility surfaces and credit spread term structures. It also captures arbitrary index curves and their associated volatilities, to support interest rate and related products.

The module is interoperable with Excel and XML, and provides reporting across all products, and against all sources of risk that can be defined and applied to the entire book, a given set of portfolios, or an individual trade.

Mike Thrower, director of marketing for Wall Street Systems, says: “The majority of new product additions are driven by our customers, and we are already working with a leading Scandinavian bank to implement the new IRD module.”

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