Instrument Box

LexiFi has packaged its core technologies into Instrument Box, a component designed to be embedded in new or existing third-party applications.

A typical use case is to bring agility to applications already supporting basic structured products. With the addition of the Insrument Box, such applications can quickly benefit from advanced features (such as valuation, reporting services, life-cycle processing) for a wide range and extensible list of structured products available in the Instrument Box.

Assuming some existing infrastructure for structured products in the application, a full integration of the Instrument Box is typically a matter of a few man*months. Then, thanks to LexiFi's ground-breaking Contract Description Language technology, adding support for more shapes of structured products is a matter of days, and they immediately benefit from all the generic services provided by the application on top of the Instrument Box. The shapes are described by scripts injected into the Instrument Box. They can be added on an existing installation, thus avoiding the often more rigid release cycle of the host application.

Key business benefits

  • Provide advanced features related to structured products (pricing, life-cycle management, reporting).
  • Bring agility and quick time-to-market for supporting new shapes or variants of structured products.

Key features

  • Most common shapes of derivatives and structured products supported out of the box.
  • Access to LexiFi's ground-breaking Contract Description Language to describe arbitrary structured products.
  • Generic contract analysis APIs (e.g. to query the dates of future fixings or future cash flows, the currencies involved in a product, the accrued interest on a given date).
  • Generic life-cycle APIs (e.g. to "execute" the contract cash flows when fixings become available, when options are exercised, when barrier or credit event occur, etc).
  • Generic simulation APIs (e.g. to evaluate future cash flows on some simulated market conditions or to forecast future cash flows).
  • Generic pricing APIs (e.g. to generate low-level Monte Carlo pricing scripts to be compiled and linked with in-house pricers or pricers provided by LexiFi).
  • Generic entry-screen APIs (to generate user interfaces for letting users enter or modify contract parameters).
  • Generic document generation APIs (e.g. to generate HTML, PDF or Word documents such as term sheets, product reports, etc).
  • Developments tools allowing to extend the Instrumemt Box itself.
  • Easy integration in any existing underlying technology, thanks to simple text-based well-documented APIs.
  • Access to the source code, to high-level consulting ressources and to an extensive technology transfer program.
  • Generic APIs mean that no ad hoc support is required for each specific shape, once the APIs has been integrated in the host application.

Does the Instrument Box come with pricing models?

LexiFi can provide a wide range of robust pricing models covering most (combinations of) asset classes. These models can be readily used with the pricing scripts generated by the Instrument Box. Calibration routines are also available for these models.

Customers can also provide their own in-house (or third-party) Monte Carlo pricers. Provided these pricers are not specific to a certain payoff, they can often be easily adapted to work with pricing scripts, using a well-document Monte Carlo pricer API.

Does the Instrument Box provide advanced analytics?

In addition to valuation itself, analytics such as Value at Risk, Backtesting, Solver can be easily implemented on top of existing Instrument Box APIs (pricing, simulation). LexiFi can provide expertise and support in the design and implementation of such analytics.

Does LexiFi provide market data with the Instrument Box?

LexiFi does not act as a market data provider. Applications embedding the Instrument Box must therefore have access to other sources of market data. LexiFi can provide expertise in the choice of a market data provider.

What is the Instrument Box, concretely?

The Instrument Box is not an application. It is an embeddable component, designed to be integrated in existing applications. The Instrument Box incorporates the most advanced technologies used by LexiFi itself to build LexiFi Apropos, its flagship end-user product.

The Instrument Box can be delivered in a number of forms, including as a static or dynamic library to be linked with C/C++ applications, as .Net or Java component, as a stand-alone server, etc. LexiFi currently supports Linux and Windows on x86/amd64 architectures (support for other systems on demand). Instrument Box can also be compiled into Javascript for execution in a web browser or on the server side.

Delivery of the Instrument Box comes with privileged access to high-level consulting ressources by the same engineers who created and designed LexiFi's innovative technologies. An extensive technology transfer program is also available.

Does the Instrument Box come with a Graphical User Interface?

The entry-screen API maps a product description into a high-level description of a Graphical User Interface for editing the parameters of that product. This description can be interpreted by various GUI "backends", thus allowing smooth integration in the application user interface and look-and-feel. LexiFi provides a default HTML/Javascript GUI backend, which enables quick integration (either for a web-based application, or through an embedded web browser on a desktop client) and can itself be quite easily customized (through CSS and Javascript). Other backends can be developped by the customer with or without the help of LexiFi.

Who would write scripts for new product shapes?

The customer has full access to LexiFi's core Contract Description Language and associated development tools. Only a few days of training are usually necessary for developpers to gain enough familiarity with these technologies to be able to write scripts for new product shapes.

LexiFi can also provide additional ressources to help the customer create those scripts, especially in the early phases of the integration project and/or for the most complex structures.

The customer can also decide to expose the Contract Description Language to their own end-users (and redistribute development tools), so that they can extend the customer's application themselves.