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September 4, 2010
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FMR HDF - Historical Data Framework


FMR HDF

FMR Historical Data Framework is the ultimate FMR solution for storing and managing financial historical series. It is an extremely flexible and scalable system, conceived and designed to quickly integrate with customers’ requirements thanks to the possibility to implement custom calculations based on clients’ specifics.

Technologies

The system is based on Microsoft SQL-Server and Microsoft.Net technology. It is integrated with other F.M.R. software and it is usable from any environment or platform thanks to its XML – SOAP interface. The integration with other F.M.R. solutions allows you to easily manage complex operations, such as:

  • financial calculations using FMR4000 or FMR3000 libraries;
  • real-time data retrieval using FMR’s RIC database, which provides instrument codes for platforms like Reuters and Bloomberg;
  • quickly building or updating instrument lists through queries on FMR3000 (government bonds) database and FMR4000 (government bonds, stocks, options, structured bonds, rates and other complex financial instruments) database.

Historical Series

To optimize control and organization of the system, historical series can be grouped into homogeneous families (for example it is possible to create a family with all Italian bonds, or a family with series of Italian Mib30 related prices).

Data Saving

The FMR DAE (Data Aggregation Engine) manages the process of saving data from real-time data providers. The application receives prices in real-time, and stores them in a database repository based on the historical series that are set up

Batch and On Demand Calculations

FMR HDF is comprised of two calculation modules:

  • Off-line calculator (OLC)
  • On demand calculator (ODC)

OLC

OLC analyzes and automatically generates historical series. OLC allows you to activate historical series automatic generation, calculated on data already stored in the system. Basic configuration includes Off-Line Calculator module and other basic calculations, such as moving averages, standard deviation, volatility, spreads between series, etc. Other calculations are available separately.

ODC

ODC is FMR HDF’s on demand calculation module that provides mathematical, statistical and financial calculations. It is possible to execute calculations on desired data ranges by inserting calculation parameters. The results can be immediate shown in a chart, in a tabular format and exported in a Microsoft Excel worksheet.

Calculation Cartridges
Both the Off-Line Calculator and the On Demand Calculator modules can load additional algorithms.

Instrument Class Algorithm Description
Bonds Analysis Yield to maturity It calculates a bond's yield to maturity historical series, given the historical price.
Asset Swap level It calculates a bond's asset swap (ASW) historical series, given a reference to a swap curve. 
Spread versus bond curve This module computes a bond's yield spread, given a zero coupon curve, obtained from a bond basket (cubic spline method).
Spread versus benchmark This module computes a bond's yield spread between a bond and its benchmark.
Pricing PV given an ASW level It calculates a bond's present value historical series, given a zero-coupon curve (swap or bond) and a spread.
Price from benchmark This module computes a bond's price historical series, given a bond and a yield to maturity spread.
Rates Analysis Forward rates It calculates forward rates historical series for maturities and durations, selectable by the user, given a term structure.
Stocks Technical analysis RSI It calculates technical analysis's (Relative Strenght Indicator).
MACD This module computes technical analysis's MACD parameter (moving Average Convergence Divergence).
All Statistics Difference It creates a historical series from the difference between two series.
Butterfly Given three historical series, this module computes the double difference historical series (wings minus center).
Standard deviation
Volatility Lognormal yields standard deviation series.
Correlations  

Easy and affordable series maintenance

Populating and maintaining series is extremely simple and quick thanks to its integration with other F.M.R. software. It is possible to build an instrument list by running a query on FMR4000 and/or FMR4000 databases, or by importing instruments from a text file. Special batch programs perform the list updates automatically. Those programs can also perform import operations or maintenance operations.

Easy series control

HDF’s user interface allows you to check both raw and calculated historical series values. The interface makes it possible to overwrite existing data, to export series in Excel format or to show series data in extremely accurate financial charts (linear, volume or Japanese candle charts are supported).