Hi all,
In this edition, our attention will be directed towards the most recent developments made in LexiFi Apropos in the previous months.
As you are aware, LexiFi Apropos undergoes continuous enhancement, aligning closely with customer feedback and requirements. Our dedicated team is committed to consistently refining every aspect of the platform, with the goal to ensure that our solution remains highly customizable and user-friendly simultaneously.
Custom Queries
In our latest software update, we’re introducing a fresh approach to parameterize document generation and reporting views with a customizable search: Custom Queries. Tailored to a specific domain (a list of rows), Custom Queries offer an interactive method for constructing search requests based on the columns within the domain. This feature comes moreover equipped with intelligent completion and interactive dropdown controls, providing users with a practical and customizable way to enhance their document generation and reporting experiences. To see this functionality in action, check out our example video showcasing a query on a list of accounts classified by region, country, manager, and client name. Remember, this is just one example of the versatile possibilities Custom Queries bring to our users’ workflow!
Custom queries are configured using the Template Language.Template Language serves as the scripting language for LexiFi Apropos, facilitating advanced software configurations, including tasks like report creation and document generation.
New Default mode in the Price Uncertainty tool
Price uncertainty in the context of exotic derivatives refers to the lack of precise predictability in the valuation of these financial instruments. Several factors contribute to the uncertainty in pricing exotic derivatives:
-Complexity of payoff structures
-Market conditions, including interest rates, volatility, and other factors.
-Lack of data: limited or unavailable data for the underlying assets or features, making it challenging to accurately model and predict future price movements.
Other factors, such as model assumptions, illiquidity and model risk can greatly influence price uncertainty.
In order to quantify price uncertainty, LexiFi Price Uncertainty tool provides a confidence interval for a given price. The certainty level is measured by a volatility indicator that we define as the Confidence Interval Equivalent Volatility (CIEV), with certain thresholds.
Change of Default mode
This analysis is highly time-consuming due to the need for real-time computation involving thousands of prices. To address this, we introduced accelerated calculations — still notably accurate, albeit a bit less precise. The option for “very precise” computations has been deactivated automatically (and this is now the new Default mode, the option can be enabled manually) to facilitate rapid computation, involving fewer trajectories and pricing, while employing specialized methodologies like Importance Sampling to maintain result integrity and prevent degradation.
Importance sampling serves as a variance reduction technique within the Monte Carlo method. The fundamental concept involves recognizing that specific values of input random variables in a simulation carry more significance in estimating a parameter than others. By placing emphasis on these “important” values through more frequent sampling, it becomes possible to reduce the variance of the estimator.
We’ll delve deeper into Importance Sampling topic shortly!
Physical deliveries in DIY
Do It Yourself or “DIY” is a generic tool in LexiFi Apropos that allows you to book any type of structured product within LexiFi, in a highly personalized manner.
We’re thrilled to unveil a significant enhancement to our DIY entry screen, designed to further improve our users’ experience of booking products in LexiFi! Starting from June 2023, you can now incorporate ad-hoc payments seamlessly into your bookings for financial products. Whether it’s a cash amount or a physical delivery, you now have the flexibility to include extra payments directly within the DIY instrument, at maturity. This upgrade further empowers our users to tailor financial products precisely to their needs, ensuring maximum efficiency. This update will continue to improve our users’ workflow and empower them to capture the most complex structured products and offers unparalleled convenience and versatility.
| What we're reading |  |
Stochastic local volatility: Read here | |
| Latest client stories |  |
QUINTET PRIVATE BANK: Fabrice Todeschini, Group Head of Global Structured Solutions, explains the success of the collaboration between Quintet Private Bank and LexiFi. SILEX: Alexis de Bernis, Chief Technology Officer at Silex, speaks about Silex’s main achievements with LexiFi Apropos, and more |
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| Features in focus |  |
Structured products definition Price uncertainty tool Pricing methods Pricing models |