kapital –valuations –p&l and positions calculations –comprehensive risk management tools...
TRANSCRIPT
Kapital
– Valuations
– P&L and Positions calculations
– Comprehensive risk management tools
– Trade capture
– Transaction management
– Portfolio management
– Middle Office controls
– Prime Record functionality
– Straight through processing to downstream accounting and settlement management systems.
A front and middle office object oriented risk management application for interest rate derivatives and cross-asset exotics businesses.
Functionality includes: Products:
Technology:– Pure Object Oriented solution– Distributed Smalltalk for parallel processing across multiple CPUs. – Multiple delivery platforms: Citrix, Java-based thin client (Vizz)
– Vanilla Derivatives: swaps, caps/floors, swaptions
– Interest Rates Exotics
– Hybrid Exotics: equity linked, long dated FX options and FX linked exotics, bond index derivatives, ...
A high-level view of Kapital ...
Kapital
Exotics (Interest Rate, FX & Equity)Primary Products Hedging Products
Long-Dated FXSwap Derivatives
SwapsBond Options
Interest Rate SwapsBonds
Credit Exposure Calculation
Trade Management
P/L Calculation
Pricing
Position Calculation
Mark-To-Market
Trade Capture
Position Analysis
P/L Analysis
Risk Management (scenario / stress test)
Financial AnalysisFunding
ExoticDesk Traders
• Market making in Exotic products
• Hedging in other Swaps and Swap Derivatives products
PrepaymentDesk Traders
• Market Making in Prepayment Derivatives products
• Hedging in Swaps and Swap Derivatives products
RiskManagers
• Position analysis• Scenrios generation• Stress testing (risk mgt)
FI Financials
• Independent Pricing• Financial analysis• Scenario generation Credit
Applications
• New and cancelled trades
Processing & Accounting
Applications
• New and cancelled trades• Daily Refixes• M-T-M• Cashflow
Market Risk Applications
• DE@R numbers
DerivativeDesk Trader
FI MiddleOffice
• P/L analysis• Position analysis• P/l Calculation• Position calculation
• Market making in Derivative products
• Hedging in other Swaps and underlying interest rate products
Kapital Parallel Compute Service
Figure 1 - Kapital Scalability via the Parallel Compute Service (PCS)
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