Fixed Income Derivative Greeks in Findur

We have previously written about gaps in Findur reporting detailed P&L on equity derivatives, and separately on gaps in realized P&L for some instruments such as inflation-linked bonds and options on futures. In this paper, we outline another gap in Findur that affects many users: Greeks on fixed income derivatives, and by extension, P&L explained.

All In One 2.0: When One Simply Isn’t Enough

Market forces are driving derivatives trading firms to re-evaluate how they use their enterprise trading platform and what role it will have in the future, if any at all. The explosion of innovative fintech solutions, combined with significant improvements in integration means these systems can shift from one that tries to do everything not so well, to one that excels at the basics and integrates for the rest. In this article we explore some of the approaches derivatives trading firms are planning for or already doing to prepare for the future.

Is Findur Ready to Model SOFR Swap Trades?

Many in the community are starting to look at the phaseout of LIBOR and move to alternative reference rates such as SOFR. There is still a lot of uncertainty about how the transition will be managed, and participants are growing increasingly concerned about the outlook. In this paper, we look at one small, but important, part of the plan: Findur’s ability to handle SOFR payment calculations.

Bespoke Tranche CDO Calibration

In this paper we describe a calibration routine created to price complex bespoke tranche CDOs using liquidly-traded tranche CDOs. We demonstrate the use of a mapping technique called tranche loss proportion that is used to identify the equivalent risk of the standard tranche’s annex.

Trade Snapshots: When To Use Them and Downstream Consequences

A trade snapshot in Findur is an archived version of a trade that preserves its state.

Saving your first trade snapshot is easy. Knowing how to reroute downstream processes to use trade snapshots is a lot more difficult.

User defined sim results, reports, extracts and accounting need to be snapshot-aware. Openlink has no out-of-the-box content for taking, managing or using trade snapshots. Long-term, you will also need to keep an eye on database growth and performance.