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MX.3 Analytics

Sometimes an example captures it all.

A recent client rollout of our latest analytics led to a threefold increase in traded volume of their most popular structured products in less than six months. Revaluation time was cut by 90% with considerably improved accuracy including the calculation of an additional ten sensitivities accounting for calibration to spot/vol dynamics.

In a world of growing complexity, even for vanillas, these are the kinds of improvements that our MX.3 analytics library can deliver. Whether clients need to account for complex underlying dynamics, build-in real time CVA charges or price and risk manage complex payoffs with a low TCO, MX.3 sets the standard. Clients can also add bespoke products and analytics, fully benefiting from the platform’s underlying life cycle and risk management capabilities.

If you wish to learn more about our Analytics Validation solution, please download the flyer here.

  • The latest best industry practice

    • Cross asset exotics
      MX.3 packages more than 300 exotic payoffs valued by state of the art models, delivered with full transparency on assumptions and methodology

    • Advanced curve management
      MX.3 supports collateral-based discounting, cheapest-to-deliver and multi-curve calibration. Volatility is managed with best of breed models for calibration to spot/vol dynamics

    • A unique integration of trading and modern risk management
      Vanilla and exotic payoffs produce CVA/xVA based on a robust and efficient multifactor hybrid model calibrated to risk-neutral or real-world measures.

  • A new benchmark for speed

    MX.3 does not sacrifice accuracy for speed. It combines the best techniques to meet each performance challenge while minimizing the hardware footprint.

    Examples include highly optimized algorithms by asset class for positions and risk aggregates; optimized calibration routines, adaptive PDE mesh or Monte Carlo time-stepping for high speed convergence up to second order greeks; valuation models are GPU-enabled and the platform supports multicore architecture and HPC algorithms e.g. for computation of initial margins.

  • Simple and fast evolution

    The MX.3 scripting language can deliver a new payoff to your product library within hours to capture a trading opportunity. Custom analytics such as yield curve bootstrapping, volatility calibration, trade valuation can be embedded at every stage of the calculation chain. New calculation chains can be created, user defined sensitivities can be added.

    Customers extending the product range automatically benefit from the platform parallelization on clusters and grids, caching and generic risk functionality for improved time to market. They leverage a programming model designed to safeguard TCO and upgradability.