Derivation Software, a provider of integrated trading solutions for the capital markets industry, today announced the release of v210 of their products, Derivation Trader and Derivation Fund. These releases contain significant developments that provide greater product coverage, enhanced risk management, more extensive analytics and increased automation.
Derivation Trader is a real-time portfolio and risk management system used by trading desks, hedge funds and other investment management firms. The system is designed to provide users with a powerful and flexible tool with the ability to monitor real time risk, analytics, pricing, P&L and positions across all asset classes. Derivation Fund is a portfolio management system that is designed to be the core system within an investment management firm’s operation. The system provides trade lifecycle and position management, cash management and integration with key third parties.
“These releases take the Derivation products into the next generation and offer users a cost effective but functionally rich system that is extremely flexible and easy to manage. We have always been a client focused company and these releases are aimed at benefiting end users to help address key industry issues such as risk management and operational efficiency” says Kevin Lenehan, ceo of Derivation Software.
The new features within Derivation Fund and Derivation Trader aid real-time decision support and provide users with the key information they need when they demand it. Cost savings and efficiencies are achieved through automated processes and workflows, as well as integration with upstream or downstream systems.
Specific enhancements include:
– Advanced Convertible Bond features: Derivation has long been at the forefront of convertible bond trading and has improved the offering further by adding gamma hedging and house price dollar nuking calculators. A new quote sheet and new issue pricing calculator has also been added as well as a new MACE data interface
– Increased risk shocking and simulation capabilities: The Derivation risk simulation module has been extended by adding flexible credit and yield curve manipulation, the ability to configure customised risk shocks and FX rate shocks
– Historic VaR: Derivation has extended its risk management capabilities by adding historic VaR calculations across multiple products
– FIX interface: Derivation has developed an interface to enable receipt of FIX “drop copies” from other trading systems for increased straight through processing
– Improved FX processing: Derivation has incorporated improved handling of FX products and how they can be viewed and aggregated by the end user
– Multi-level aggregation and drill down: All views within Derivation can now be aggregated by a number of different attributes including fund, strategy, sector, issuer, country and currency etc. The book structure and filtering has also been extended, which now provides ultimate flexibility for end users
– Volatility surface calculator and graphs: Derivation has added more volatility functionality and can now produce volatility curve smoothing, volatility smile and surface generation
– Multi-option calculator: Complex “what-if” trading strategies can now be simulated within Derivation’s multi-option calculator
– Equity and Index options: New functionality for these asset types include; calculation of the dividend yield on an index from underlying dividends, implied dividend yield and discrete dividends and the ability to forecast discrete dividends for an index from an underlying
– Performance measures and Time-weighted returns (TWR): Performance measures such as Sharpe ratio, M-Squared return, standard deviation of returns etc. have been incorporated into Derivation. Time series GAV and time weighted returns by fund and book are automatically calculated and can be charted
– Middle/Back office features: Derivation has extended its middle/back office offering by further developing its cash management capabilities, particularly for swaps and rates. More accounting columns have been added for increased transparency and a reconciliation tool has also been incorporated into the system.
