22 October 2017

Xenomorph introduces implied volatility surface analysis module

21 June 2006  |  3231 views  |  0 Source: Xenomorph

Xenomorph has today announced the release of a new implied volatility surface analysis module for Xenomorph's TimeScape data and decision management system.

The module has been developed in conjunction with several major investment banking and hedge fund clients and enables drill-through statistical analysis of historical volatility surfaces.

The new volatility surface module takes advantage of TimeScape's unique ability to store not only prices, but also complex data over time. The module is currently being used to exploit arbitrage statistical arbitrage opportunities in derivatives trading and to provide enhanced pricing and risk management of derivatives portfolios.

Chris Budgen, Xenomorph's Chief Technical Architect, says "Why should time series storage of data be limited to simple data types such as numbers representing prices and yields? TimeScape XDB has been designed from the outset to make it easy for both business and IT professionals to store, analyse and benchmark against all kinds of complex financial markets data. The addition of the implied volatility surface module is a validation of this premise and one that is already delivering real value to our clients."

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