Founded in 1990, FINCAD provides advanced modeling solutions built on award-winning, patent pending technology. With more than 4,000 clients in over 80 countries around the world, FINCAD is the leading provider of financial risk analytics technology, enabling global market participants to make informed hedging and investment decisions.
FINCAD provides software and services supporting the valuation, reporting and risk management of derivatives and fixed income portfolios to banks, corporate treasuries, hedge funds, asset management firms, audit firms, and governments.
FINCAD Analytics can be accessed through Excel, MATLAB, as a Software-as-a-Service or embedded into an existing system through software development kits. Now, over 70 FINCAD Alliance Partners embed FINCAD Analytics within their solutions.
FINCAD provides sales and client services from Dublin, Ireland, and Vancouver, Canada.
Design, implementation, validation and integration of new pricing module for exotic derivatives into inventory management system using web service architecture.
Integrate daily price of exotic FX derivatives in process flow of inventory management system. Pricing directly was not possible in inventory management system.
Implementation of external pricer and providing interfaces to inventory management system.
Specify the catalogue of products with all possible features. Select the pricing model, the calibration strategy and the set of calibration instruments. Implement prototype of model and pricer (with F3 Excel Edition). After successful tests of this prototype, re-implement solution in Java (Fincad F3 SDK) and put onto a server (IBM Websphere). Design and implement interface for exporting market- and product data from inventory management system, build interface for importing derivatives prices into the inventory management system.
By connecting to an external pricer, the bank can extend the power of its trading system without the need for major changes in the bank's IT system architecture. At the same time, the portfolio valuation remains consistent, because market data is sourced from the bank's inventory management system. Because of the modular set-up, extensions of the solution with a growing product catalogue are feasible.