kACE Treasury FX
kACE Treasury FX - Precision pricing for FX rates
kACE Treasury FX provides high quality data aggregation, pricing and publishing of FX rates.
Data aggregation and cleansing
Our advanced aggregation solution collects and cleanses data from a wide range of sources.
- Up to 15 separate proprietary sources per currency or asset can be aggregated
- Aggregation supplied per tenor or per source basis
- Various aggregation algorithms are available to meet an institution’s requirements
- Sophisticated aggregation routines prevent use of outliers in inbound data
- Live dealing prices can be used as reference or override
- Individual sources can be weighted
- Sources can be supplied from multiple data vendors
- Theoretical prices can be blended with live prices
- Ability to set start and end time of inbound data sources (useful for regional sources)
Pricing engine
kACE Treasury FX’s pricing engine is backed with a sound theoretical foundation and delivers prices in line with current market best practice. The dynamic architecture allows prices and calculations to quickly adapt to external events and changing data.
Backpressure and conflation are both handled automatically, so no computing power is wasted. This allows the pricing engine to always operate at optimal performance levels.
Curve construction
- Supports 60+ currencies and all crosses
- Allows FX Forwards & NDFs to be implied from kACE’s sophisticated interest rate curves (as well as non deliverable cross currency swaps and cross currency swaps)
- Provides the ability to add events and turns to FX curves ensuring accurate incremental pricing to your desk and ecommerce solution
- Includes the full implementation of “step” interest rate curves for overnight index swap (OIS) pricing, giving increased accuracy for implying forward FX pricing
- Medium term FX forward pricing from interest rate swap curves
Pricing:
- Pips per day and pips per gap
- Optional spot override
- Arbitrage using cash, OIS, fixings or three month futures curves
- Real time CSA pricing for cross currency basis swaps
- Odd dated pricing
- Forward broken amounts
- Average par forwards
- Spot hedges
- HRR calculator
Distribution and publishing
Our data publishing module distributes prices and calculations to a wide variety of destinations. This is particularly beneficial for clients with both internal and customer facing ecommerce platforms.
Control and safety are essential parts of our solution. If any price made breaks a pre-set rule, it will be automatically withdrawn from the market and the ecommerce platform will revert to displaying no price for that product.
Key features include:
- An integrated, easy-to-use publishing dashboard
- Full support of multiple publishing targets
- Global/regional/local spread management
- Ability to skew and spread individual targets as groups or individual tenors
- Option to publish curve to middle office systems
- Full validation and flexible throttling of outgoing data to ensure downstream systems are not flooded
- Specific rules that withdraw published prices but also offer control if the validation fails