The valuation engine is based on best practices in the financial industry. This includes advanced simulation models and valuation of future cash flow. This is required in order to quantify all relevant valuation adjustments embedded in financial derivatives.
Economic Scenario Generator
The calculation of market values and xVA uses the Economic Scenario Generator as basic building block. The valuation of financial instruments are based on these future market data states. The simulation library contains models for all major risk factor classes, including interest rate curves, equity prices, FX rates, inflation, energy prices, etc..
The valuation can happen for all products as long as their underlying risk factors are contained in the Economic Scenario Generator. swaptimize.it offers a simple way of adding plain vanilla trades, which among others include interest rate swaps. The scripting framework allows for very sophisticated trade represantation required by some clients.
American Monte Carlo
The valuation follows the American Monte Carlo technique by applying the Longstaff-Schwartz algorithm. This makes the valuation engine capable of making valuations of even complex pay-off structures.
swaptimize.it delivers all key results as part of the market valuation. This includes Credit Value Adjustments (CVA), Debt Value Adjustment (DVA), Funding Value Adjustment (FVA) and Capital Value Adjustment (KVA) and also expected exposure profiles.
swaptimize.it acquires all market data from leading financial data providers including ThomsonReuters and ICAP. All simulation models are implemented and calibrated based on these market data inputs. The users of swaptimize.it therefore get access to advanced financial models without spending time on data cleaning and model development.