Analytic Space, a customizable portfolio pricing and risk analysis framework, provides a robust set of algorithms for the construction and effective application of yield curves, volatility surfaces and other market data. Yield curves may be constructed for any trading currency around the globe. Yield curves can easily be shared by end users and the curves can be archived along with the raw market data used in curve construction. In addition, end users may import externally generated yield curves for use within Analytic Space.
Readily customizable, Analytic Space includes ready-to-use, pre-defined templates based upon standard market conventions for the following trading currencies:
- US Dollar
- British Pound
- Canadian Dollar
- Japanese Yen
- Hong Kong Dollar
- Australian Dollar
- Brazilian Real
Users may add additional trading currencies and/or create new yield curves in accordance with commonly accepted market practices or custom approaches. In addition, users may utilize and incorporate in-house developed or third party analytics.
Generated yield curves can easily be forwarded and shared within an organization for consistent pricing and cost savings.Yield curve construction outputs includes curve pillar dates with the corresponding spot rates, discount factors and forward rates (generated in accordance with user-specified tenors). Analytic Space includes functions that let users retrieve curve outputs for any specified curve date.
Analtic Space yield curve construction features include:
- Robust archive features and the ability to retrieve and restore yield curves
- Create and store historical and simulated curves that may be used for comprehensive portfolio risk analysis, individual product analysis, model validation and pricing exercises
- Full curve transparency and auditing capabilities
- Compatibility with all major market data providers (e.g. Reuters, Bloomberg) or custom built databases
- Multiple interpolation techniques for curve bootstrapping and rate interpolation
- Ability to construct and save historical yield curves based upon historical markekt data objects