Our pricing framework is a ready-to-use tool designed to be highly-customisable, and refined through 20 years of expertise.
LexiFi Apropos’ engine offers instant pricing with one simple click. This click triggers a three-phased process:
1. Model selection: each model is scored based on the product’s characteristics. The best-ranked model based on these scores is the default model for the product of interest. Pricing can be executed with the preselected model or users can select a different one from a list of eligible models.
LexiFi Apropos integrates a wide selection of highly sophisticated built-in pricing models that are developed and continuously improved according to the market’s best practices. All quantitative libraries are exclusively developed by LexiFi, thus guaranteeing a deep level of knowledge. A more detailed document of the pricing models and methods is available upon request.
2. Parameters selection: pricing parameters are automatically pre-defined, but users have the ability to customize all model parameters to obtain pricing specifications meeting their needs. LexiFi’s software allows to store model and parameter choices as “Pricing Profiles” that may be associated with contracts for future use.
3. Market Data, Calibration and Rate curve: LexiFi automatically generates a query that is sent to the market data source, based on the combination model/product. As a result, users do not need to bother with the listing of all required market data. Regarding rate curve stripping and model calibration, the tool provides an auto mode allowing a one-click pricing process, or users can input their own yield curve and pre-calibrate the model with their preferences and assumptions. User calibrations can be stored and reused anywhere within the software.
Extra Pricing Results
Our technical team went even further by adding the Extra Results option which opens the door to other crucial information, such as cash flow details, probabilities of barrier crossings and early redemptions. Other analytics like Greeks and Value at Risk (VaR), which are directly derived from pricing, are also calculated. This underlines the importance of the feature and its trickle-down effect on other major elements of the software.
LexiFi is proud of an unequaled level of client-centric customisation, illustrated and built on an infallible relationship of trust with each of its clients. Users may want to use their own in-house models for strategic reasons or regulatory constraints and this option is available upon request. Different integration scenarios may be chosen, depending on the architecture of the pricing libraries to be used.
Figure 1: Pricing page for a contract