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Risk Evolution

Risk Evolution. Multi-User Server Configuration. Multiple Live Markets/Excel Users One central Pricing Context Server Shared Derived Data. Raw m arket data for pricing contexts centralised Additional raw m arket data and calculations on desktop as r equired.

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Risk Evolution

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  1. Risk Evolution

  2. Multi-User Server Configuration • Multiple Live Markets/Excel Users • One central Pricing Context Server • Shared Derived Data • Raw market data for pricing contexts centralised • Additional raw market data and calculations on desktop as required

  3. Single User Desktop Configuration • Where Data Licensing restricts data to desktop • Desktop Pricing Context Server performs heavier calcs • All Raw / Derived Data Local • Excel / Live Markets Share Pricing Contexts • Desktop Pricing Context Server performs heavier calcs

  4. Addins/Plugins from In-House Libraries • By Default All Calculations use ReflexLibs • Extend or Replace ReflexLibsCalcs with your own in-house libraries • Run multiple libraries in parallel and offer alternatives / comparisons. • C++ Library Addins available through ReflexLibs Extensions • .NET Languages, C#, F#, VB.NET available in Curve Server / Managed Layer

  5. Curve Calibration

  6. Options : Skew / Smile Models (Current Risk Evolution Models Highlighted) • SABR • Heston Lognormal • Heston Normal • Vanna Volga (Super Derivatives) • SVI (Stochastic Volatility ‘Inspired’) • Bates Normal (Heston with Jumps) • Bates Lognormal • Local Vol - Dupire • Local Vol- Kani • Tremor (Murex) • Jäckel / Kahl - HypHyp Hooray • Vozovoi & Klein (Super Derivatives) • Anderson-Hutchings (Pricing Partners) • Pagliarani & Pascucci - Stochastic Local Vol with Jumps • Silvano (Volmaster) • Bloomberg OV (Stochastic Local Vol)

  7. Options : SABR / Heston vs Bates • Around At the money (+/- 25r) all models very similar • Significantly large differences for 5r/10r • Fit 5 Strikes instead of 3 Strikes

  8. Inflation Benchmark Inflation Zero Coupon Swaps “Term Structure” Inflation Seasonality Model Inflation Linked Government Bond Asset Swaps

  9. Inflation : Seasonality Calibration Zero Coupon Curves for different Base Index Months Zero Coupon Calendar Spread Term Structure • 12 Underlying Multiplicative ratios with multi-year Term Structure • Typical set up explicit forward index values for 24 months • In Line with forthcoming cleared Mark-to-Market Explicit Inflation Indices And Year on Year Quotes User Editable Term Structure Seasonality Model 12 Monthly Factors per year – multiple years (say 2014, 2015, 2016, 2019, 2034)

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