Introduction to quantitative analytics

Have a look at the overview of our pricing module and our main quantitative instruments: open LexiFi’s toolbox!

LexiFi’s ingenious pricing framework is designed to link contract definitions to in-house, third-party or LexiFi’s built-in valuation engines to facilitate the development of risk analyses and to reuse calculation platforms while benefiting from its unique contract description.

Key features include:

  • Long list of cutting-edge and industry-standard pricing models with the choice of Monte Carlo, PDE and closed-form implementations. Available models cover all major asset classes: equity, foreign exchange, commodity, interest rate, inflation, credit and hybrid

  • Automated pricing of financial products from inception to maturity thanks to product definitions automatically adapting in response to lifecycle events such as payments, fixings, option expiries, barrier crossings and equity corporate actions

  • Strict separation between product definitions and pricing algorithms ensures that pricing routines do not need to be modified to take into account new lifecycle events

  • Ability to price products on a past date without any ad hoc manipulation

  • Feature for transformation of observable market data into relevant model inputs with flexible and robust calibration algorithms

  • Possibility to price with multiple yield curves to reflect the different credit and liquidity risk of rates for different tenors and discounting of cash flows

A selection of powerful tools allows to quantify risks and rewards of both new and existing products with a collection of analytics:

Structuring tools:

  • Contract variations – calculate the impact of changes in product parameters on the price

  • Solver – calculate product parameters to match a user-inputed price

  • Underlying Optimiser – identify and optimise underlyings for product shapes

In depth pricing:

Scenario analysis.

Use a powerful framework for designing, managing and running scenarios:

  • Backtest – quantify the performance of a product as if it had been acquired in the past

  • Forward simulation – analyse the behaviour and value of a product along with future market scenarios

  • Risk scenario – price a selection of financial contracts under certain market data scenarios (e.g. stress testing, regulatory ratio computation)

  • Value at Risk and Tail Conditional Expectation

Other features include reporting, managing portfolios and risks:

  • Cash and security positions – calculate past and future cash flows, cash balances and security positions

  • Risk and reporting- estimate portfolio values and risks, and present the information using a collection of specialised displays and reports

  • Valuation – attach one or more pricing environment(s) to each contract in order to automate the ongoing valuation of portfolios

  • Batch processing – launch and run to completion without any user interaction tasks that need to be processed to produce portfolio analytics

LexiFi • 892 rue Yves Kermen • F-92100 Boulogne-Billancourt • France