MARKETS

Foreign exchange

Our innovative foreign exchange (FX) products cover the forwards, NDF (non deliverable forward) and options markets, providing accurate pricing and workflow solutions for:

  • Trading
  • Sales desks
  • e-Commerce
  • Risk management


FX forwards and NDF markets

Pricing for FX forwards and NDFs is more sophisticated than simply aggregating real-time market data. The inclusion of a wider range of market influences, such as subtle interest rate changes and Central Bank intervention data, significantly enhances the accuracy of our pricing at a granular level.

kACE Treasury FX market coverage includes:

  • Full set of FX pricing tools using basis-adjusted Libor, fixing and overnight index swaps (OIS) curves
  • Allow events to be added to FX curves (end of month, ECB dates, FOMC dates)
  • Real time credit support annex (CSA), collateralised pricing for cross currency and basis swaps
  • Subset of pricing tools available for sales desk
  • Bespoke trader calculators such as forward broken amounts, broken dates and spot override
  • Funding and arbitrage calculators
  • Extensive currency pair coverage (including crosses)
  • Non deliverable forwards
  • Implied forwards from rate curves
  • Outrights
  • Cross currency basis

Our sophisticated data aggregation module ensures the quality of inbound data, therefore
enabling accurate and consistent pricing.

  • 15 separate sources per currency/asset can be aggregated (more if necessary)
  • Aggregation can be applied on a per ten or basis or source basis
  • Live dealing prices can be used as a reference or override
  • Weightings can be applied to individual sources
  • Start and end times can be set for individual sources
  • Ability to take sources from multiple market date vendors
  • Comparison of calculated theoretical prices against market prices
  • Ability to blend calculated theoretical prices with live prices


Interest Rates

Highly flexible interest rate curves allow variable discounting to accurately price the specific characteristics of any given trade.

kACE Treasury Rates market coverage includes:

  • Interest rate curves, discounted via overnight indexed swap (OIS) where applicable
  • Stepped curve for OIS pricing
  • 1m, 3m, 6m, 1yr Libor curves
  • Real time CSA collateralised pricing for interest rate, cross currency and basis swaps
  • Additional events can be applied to curves
  • Interest rate swaps (calendar, IMM, forward forward and broken dates)
  • Forward rate agreements (FRAs) (calen-dar, IMM and broken dates)
  • OISs (calendar, forward forward and broken dates)
  • Non deliverable cross currency swaps
  • Butterflies
  • Spreads
  • Tear ups
  • Amortising, accreting and roller coaster swaps