Key Features:

  • Complete front-to-back derivative solution
  • Precise Libor/OIS curve construction
  • Full integration with Marketwire for e-confirmation
  • Real-Time P/L report and P/L break-down reports
  • End-of-Day (EOD) mark to market process
  • Leverages RiskVal’s award winning rich/cheap analytics
  • 15+ years historical time series data for regression analysis

Key Market Making and Risk Reports:

  • Swap Pricer for market making
  • Forward Swap Matrix for Spread/BFLY performance analysis
  • Bucket risk reports (spot and forward buckets)
  • Basis risk reports (FF vs. 3M, 1M vs. 3M, 3M vs. 6M, 3M vs. 12M)
  • P/L and P/L break-down reports
  • PCA scenario analysis reports

RVDealer: Derivative

RVDealer’s derivative solution is a fixed income sell side solution for derivative market makers. It is a front-to-back solution, enabling derivative dealers to conduct market marketing efficiently, as well as book trades in the trade blotter and manage inventory risks. It is connected to Marketwire for electronic trade confirmation, as well as the LCH/CME clearing process.

The solution leverages RiskVal’s award-winning analytics to enable dealers to construct Libor and OIS curves through various bootstrap techniques, ensuring that the curve is smooth and calibrated to the market. It also allow dealers to manage the fitting points of curve construction, such as the number of ED$ futures for the Libor curve, and FOMC meeting date rates. The real-time Libor/OIS curves enable traders to efficiently engage in market making for plain vanilla swaps, MAC swaps, IMM swaps, and basis swaps.

The derivative solution comes with RiskVal’s RVFI package. Traders can leverage the Forward Swap Matrix to model up spot/forward spread/butterfly strategies for rich/cheap relative value analysis, as well as curve performance and RSI technical analysis, such that dealers can fully prepare for inquiries from buy-side firms.

RVDealer’s derivative solution comes with a suite of real-time P/L and risk management GUIs to help dealers efficiently manage inventory and hedge unwanted risks.