convertible bonds
Having taken a battering in the global financial turmoil, convertible bonds quickly
became the most undervalued asset type and so predictably bounced back with a vengeance!
Derivation offers the best of breed CBs trading and risk management platform
available in the market. Over 25 years CBs experience and heavy development investment
has resulted in Derivation being used within some of the largest financial institutions
in the world.
Derivation’s CBs platform is the result of years and years “on the desk” design
and development, building the features that sales & traders really want on
top of its established model.
derivation highlights
- Respected CBs model: Derivation’s mature convertibles model is continually enhanced to support instrument and terms changes in the market.
- Market making: Desk developed trader tools, including extensive dollar nuking functionality, with counterparty quote recording and matching.
- Risk management: Live risk sensitivities, calculating the Greeks, coupled with risk simulator to stress test portfolios and funds alike.
- Live P&L: Real-time P&L viewable by any period, using a complete range of price sources.
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key features
models & tools
- Mature and respected CB model, continually enhanced to incorporate the latest market terms.
- Extensive “what if” calculators for CBs, Ascots, New Issues and multi-Options.
- Gamma hedging tool and Delta calculator.
market making
- House price generation, with the ability to nuke house prices by the underlying equity price, delta & gamma.
- Counterparty quotes are stored with historic analytics, including: quotes, delta, theoretical price, floor and implied volatility.
risk management & simulation
- Real time calculation of Greeks, including: Delta, Gamma, Vega, Theta and Rho.
- Historic analytics service automating time series data retrospectively, with professional charting package.
- Flexible scenario analysis and stress testing functionality.
real-time P&L
- Real-time “tick by tick” P&L, viewable by any period: Daily, MTD, YTD & Lifetime.
- P&L may be based on theoretical, live, house or end of day prices, with configurable alerts and colouring features.
- Full P&L breakdown (unrealised/realised) with choices of accounting methodology are available, with a full trade audit.