New York-based Summit Systems has launched its Multi Underlying Structured Trade (Must) application, designed to provide easy modelling and precision pricing of customised and sophisticated exotic instruments.
Must is a trading application that allows users to create new trade types with underlyings that span multiple asset classes, such as interest rates, FX and equities.
Trade characteristics can include heavily customised trade legs with embedded payoff formulas, plus user-defined variables that encompass trade input options and intermediary payoff variables to model path dependency or output variables. The Must application also employs a Brace-Gatarek-Musiela (BGM) pricing model, although users can also add their own proprietary model.
In addition, the system cuts the time delay between trade design and active trading by eliminating the need for programming, says the vendor. Using a single screen traders can assemble a complex deal structure, assign customisable trade attributes and model and store new trade type behaviour.
Guillaume Aubert, director, business development, Summit Systems, says: "Must is an extremely powerful tool for traders whose business includes highly structured trades that are very difficult to enter — much less price — using traditional front-office trade entry systems."