Securities Valuation

Independent valuation of securities and derivative portfolios is increasingly a core need for companies, enabling them to conduct financial reporting and economic analysis.

The Perfect Hedge makes FINCAD’s trusted, proven analytics available to subscribers combined with daily market data, 24x7 calculator access along with risk management and reporting features.

Instrument Coverage

The Perfect Hedge supports a broad range of financial instrument and derivative types. Existing trades can be searched, selected and cloned to save time in modeling other positions. FINCAD extends the scope of instrument types supported on an ongoing basis, based on client demand and market innovation. Custom implementation of specialized structures is also available.

Money Market Instruments

  • T-bills
  • Certificates of deposit
  • Bankers acceptances
  • Libor deposits
  • Forward rates agreements (FRA)
  • Interest rate futures

Debt

  • Bullet bonds - odd coupons, non-par redemption, callable (price to worst)
  • Amortizing bonds
  • Structured debt securities and loans
  • Floating rate notes (FRN)
  • Amortizing floating rate notes

Interest Rate Derivatives

  • Vanilla swaps (fix/fix, fix/float, float/float)
  • Cross currency swaps (fx/fix, fix/float, float/float)
  • Amortizing swaps (fx/fix, fix/float, float/float)
  • European swaptions
  • European caps / floors
  • Tax exempt swaps (average coupon, amortizing)
  • Tax Exempt swaptions (average coupon, amortizing)
  • Tax Exempt caps / floors (average coupon, amortizing)
  • Interest rate futures

Foreign Exchange

  • Forwards
  • Vanilla options
  • Asian options
  • Binary options
  • Single barrier (call/put, binary, touch)
  • Double barrier (call/put, binary, touch)
  • Swaps (fix/fix, fix/float, float/float)
  • Amortizing swaps (fix/fix, fix/float, float/float)

Equity and Index

  • Spot
  • Forward
  • Vanilla options
  • Asian options
  • Binary options
  • Single barrier (call/put, binary, touch)
  • Double barrier (call/put, binary, touch)

Commodities

  • Spot
  • Forward
  • Vanilla options
  • Asian options
  • Binary options
  • Single barrier (call/put, binary, touch)
  • Double barrier (call/put, binary, touch)
  • Futures

Position management objects contain properties (data fields) for:

  • Trade or position name
  • A unique system identifier (that can refer to external system position identifiers)
  • The instrument or derivative instrument type
  • The payment currency of the position
  • The account the position is assigned to
  • The trade settle date and the trade end or close date
  • The trade (position) asset classification category for risk calculation purposes
  • The trade action (whether bought or sold, paying or receiving)
  • The trade status (whether settled or pending settlement)
  • The maturity status (whether live or matured)
  • When the record was created, last modified and last calculated
  • Who owns the record of information
  • The security permissions that apply to use of the record of information