The core application calculates TIIE, Basis Swaps and FX Forward rates out to 30-years from actual and implied Discount Factor Curves. It also incorporates broken-date calculators for both 28-day and calendar dates, as well as duration and spread calculators.

The system is currently being deployed at ICAP, New York, and has been customised to meet their exact specifications.

Commenting on the successful implementation of the new application, Phil Moody, EVP, Emerging Markets, ICAP New York said: "We've used Kalahari's pricing applications for a number of years on our G7 FX desks and our MXN desk because of the application's accuracy and reliability. Ease of configuration also guarantees that the models remain at the forefront of market methodology. We're certain that Kalahari's latest MXN model will help us maintain and improve ICAP's position in the MXN inter-bank market."

Nigel Weston, Director - Americas, Kalahari Limited said: "We're very pleased to be a part of ICAP's continued success in the Mexican TIIE and FX markets. This latest model is another example of Kalahari's commitment to provide pricing applications and services that are of real and lasting value to our customers."

ICAP is the world's largest voice and electronic inter-dealer broker. Following the acquisition of the BrokerTec fixed income securities businesses in 2002, ICAP's average daily transaction volume is in excess of $500 billion, 40% of which is electronic.

kACE is the industry's leading real-time price discovery and analytics solution designed for enterprise-wide use at banks, brokers, energy/utility firms and other financial institutions. kACE has been designed with flexibility in mind, and allows bespoke design for each customer and individual end-user requirements. With over 1200 calculations embedded in the system from the best maths library experts in the industry, along with Kalahari's own libraries, kACE is capable of pricing the most complex financial instruments currently traded within the financial markets.