Applications :

SPOTEX : Energy Price Forecasting App. This predicts the next day price for WTI/RBOB/NG/HO/Gasoil, with 95 % Confidence Level. This app has been tested on Nymex & EIA 12 yrs. historical spot prices and  after studying their  Pricing Pattern,Volatility/Mean Reversion/Jumps/Kurtosis.

MBAS: (Mortgage backed securities Modelling Tool). Monthly Cashflow Modelling for MBS. Pricing & Valuation of MBS tranches.Risks in MBS (Extension risk, Contraction risk, Rate sensitivity, PP sensitivity)
MBS Derivatives (IO,PO)
Fair Valuation, Effective Duration, Average life, Effective Convexity computation.

NATAP: (Nat Gas Trading, Storage ptimisation)- Based on Forward Curve, Storage constraints, Operating &Financing charges;  System produces the Optimal trading  strategy, recommending the buying & selling positions to be taken, Qty. to be bought and Sold, thereby suggesting a Max Trading Profit, which can be Locked.

QUANTHEDGE: (Derivatives Valuation & Risk Optimisor App).- It has pricing Module for Valuing 20 types of derivatives (prevalent in US Markets, both OTC & Exchange Traded). Daily Physical options, Nymex/ICE traded Options; Average Price Options; Platts- Henry Hub Basis Options and many more...

FINMA: (Fixed Income Pricing & Risk Modelling App). It can be used for pricing Treasury bonds/Corporate bonds/HYBonds/Convertible Bonds/Callable Bonds and bonds with embedded options. It computes DV01,PB01, Convexity risk measures.

CRAM: (Credit Risk Modelling App.)- It estimates Credit risk parameters (PD/LGD/EAD) using Multivariate statistical Models. It predicts the Credit score for applicants.


Home | About Us | Applications | Research & Consultancy | Training | Feedback