Details of new module – ‘MBRM 2-Factor Interest Rate Volatility Add-in’ The new module implements the cutting edge 2-factor ‘Brace-Gatarek-Musiela’ (BGM) model to price and risk manage interest rate derivatives. The system automatically calibrates the BGM interest rate model to any of the traded instruments (e.g. swaptions, caps, floors, collars, corridors, digitals etc), including fitting expected correlations between different parts of the curve. Dr Mamdouh Barakat, Managing Director, says ‘A major weakness of the widely used 1-factor interest rate models is that users implicitly assume perfect correlation between short and long term interest rates (i.e. a correlation of 1). Using a 1-factor model, if you tried to price any kind of term spread option trade, e.g. option on the spread ‘6M Libor – 10 year rates’, the single factor models would return completely wrong answers.’
The annual BNP Paribas Cash Management University kicked off on Thursday morning with treasury professionals congregating in Paris from across Europe.
APIs may be a solution to MT940 challenges, says Karen Fagan, treasury operation manager, for British television company, ITV.
Kicking off the first day of the Singapore Fintech Festival, issues with cryptocurrencies were addressed by MIT media labs director, Joi Ito, and panels of technology leaders discussed how they’re using data analytics.
Sibos 2017 day two highlights: Brexit and banking, and why ‘data is the new oil’ in financial services
How nation first politics can impact global financial organisations It’s clear that data and regulation are the two key topics that are ... read more