FMR4000

A Framework for Evaluating Bonds, Structured and Derivatives Markets

Background

During the last decade trading activities have rapidly grown within markets and mathematical sophistication. As a consequence, traders looking for better opportunities, began to issue and exchange new instruments. In place of the most traditional government bonds, new and more complex financial products have become more and more attractive, among which:

• structured bonds (with more or less scheming embedded options);
• floating rate notes, within various indexes (CMS, inflation linked, rating indexed, etc);
• issues from EU candidate members countries;
• emerging markets;
• high yield illiquid bonds.

These instruments have their own characteristics and need to be evaluated using different mathematical models and market conventions.

The Framework FMR4000 is the solution: a packet of integrated and flexible applications, able to globally deal with problem of evaluation of complex financial instruments and associated derivatives.

FMR4000 includes:

• the Instruments Database (FMR4000 DB), designed to efficiently manage either simple structures, as government bonds, and the most complex instruments on the market. Data are accessible from each platform thanks to the XML - SOAP communication layer;
• the Analytic Library (FMR4000 Lib), supporting both Windows and UNIX operating systems, able to access the instruments database and to manage complex financial algorithms to evaluate different bonds and derivatives types.

FMR4000 has been designed to:

• provide the quantitative framework for the evaluation and the risk management of complex financial instruments;
• grow and modify continuously to fulfill market changes, thanks to a modular structure able to rapidly implement new financial instruments and evaluating models;
• directly include the necessary information with the credit risk evaluation models;
• connect to the database for historical data retrieving (i.e. for statistical computation such as variance, correlations, etc);
• support real time applications;
• guarantee reliability and robustness standards typical of industrial caliber applications;
• easily integrate within other customer applications;
• be accessible from several programming languages (C, C++, Visual Basic, etc.) and development environments (Excel, SAS, Matlab, etc).

Functionalities of financial libraries:

• support for plain-vanilla or amortizing government bonds, fixed rate or floating rate notes (standard, CMS, reverse floaters, structured, etc.);
• support for standard yield to maturity, duration, convexity, etc. functions;
• pricing algorithms based on different Zero Curve evaluation models;
• term structures computation functions based on swap or bond markets;
• analytic models for interest rate options (cap, floor and swaption, bermuda, etc.) within mono and multi-factor calibration on market data;
• analytic models for several options typologies (vanilla and exotics), pricing, greeks and implicit parameters (volatility, correlation, etc.).

Download the brochure

FMR3000: Financial libraries for government bonds