F3 3.0 provides market correlation calibration for Libor and OIS rates.
Fincad, a Vancouver-based derivatives valuation and risk management software provider, has launched the latest version of its hybrid modeling and advanced curve building tool, F3.
Version 3.0 provides market correlation calibration for hybrid modeling and dual-curve stripping for the London Interbank Offered Rate (Libor) and overnight indexed swap (OIS) rates.
"The new F3 functionalities are beneficial to users looking to evaluate the impact of derivatives pricing with different discounting methodologies or for identifying optimal modeling choices," says Bob Park, Fincad president and CEO. "The cheapest-to-deliver curve functionality will construct a curve based on specific collateral agreements and numeraire currencies."
James talks about his trip to Chicago and some of the interesting topics that came up (including a look at disaster recovery demands). Then Anthony and James touch on ISDA's initial margin rules, with Phase 3 going live next year.Subscribe to Weekly Wrap emails