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, first consisting in the model selection, followed by the calibration, and ending with the pricing. The calibration can either be an auto-calibration or a selection from a catalog of saved calibrations. 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.
Pricing is simplified by a default model selection process embedded in the application, though it is also possible to explicitly select other models. This process rests upon the contract algebra description leading to an analysis of product characteristics and underlying assets, which automatically defines a list of models eligible for the pricing of the contract in current use. The most suitable model is then defined as the standard model for the specific product. In this pre-selection routine, one also has the power to customise several model parameters to obtain pricing specifications meeting particular needs.
Evaluate the suitability of a particular model amongst a list of models to price a contract. In the Model Contract Affinity Page, 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. This is consistent with LexiFi’s philosophy to provide insight into the processes and the models of the software to let clients explore technical details.
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