Quantitative Analytic Systems (QAS) applies quantitative mathematical models to evaluate volatilities and correlations between asset classes in a real time, multi-currency environment.
Financial asset pricing models cover and cross over the debt, equity, foreign exchange, credit, and derivative markets. The models have wide ranging applications from arbitrage, hedging, synthetics attribution analysis, portfolio rebalancing, risk measurement, to accounting and financial control.
OAS delivers, installs and supports analytic models for
b) risk management
c) hedging and securities decomposition
d) exotics including credit derivatives.
The entire QAS Calculation and Analytic Library is modular by design, and becomes plug and play and conform to industry standard convexity, volatility curves and indexes. All models are available with GUI front end development.
Clients have the option of choosing the analytic models from the OAS Financial Library, as well as the time-frame to install the models. Additional customization according to the client’s specification can be accommodated.
REMTCS Analytics are comprised of twelve group of models which have in some instance common models with appropriate modifications for specific group and markets, such as Black-Scholes. Any specific mentioning of particular models are our suggestive use of these models and can be reconsidered based on user preference.
■ Zero Coupon Pricing Models (Black-Scholes)
■ Interest Rate Models (Hull-White, Black-Derman-Toy, Ho-Lee, Black- Karasinski)
■ Equity and Commodity Models (CRR-Cox-Rubinstein-Ross , modified Black-Derman-Toy, Lognormal Asset Price)
■ Foreign Exchange Models ( Black-Scholes, Black 76, Black Karasinski, Garman-Kalhagen and Monte Carlo)
■ Linear Path Dependent Models (Monte Carlo, LPS)
■ Option Adjusted Spread Analysis (Black-Derman-Toy, Hearth Jarrow-Morton, Black-Karasinski)
■ Municipal Obligations and other tax related securities (Black Derman-Toy, Hearth-Jarrow-Morton, Black-Karasinski, QAS proprietary pre-refunding model)
■ Prepayment Models for Mortgage Backed and Asset Backed Securities (Black-Derman-Toy, Hearth-Jarrow-Morton, Structured Monte Carlo, OAS proprietary analytic model)
■ Path Dependent Securities (QAS proprietary models)
■ Security Decomposition Models (QAS proprietary models)
■ Credit Derivatives (QAS proprietary models)
■ Insurance Derivatives (QAS proprietary models)
QAS provides both standard and customized models on project based assignments. Full technical support is available for installations on hardware platforms.
1. Modeling in 1 & 2 factor and N factor interest rate models, distributions and projections.
2. Three factor model in pricing of securities which depend on US rates, Non
U.S. Index and Forex rates.
3. Term structure of volatility from market prices of cap/floors and/or swaptions, volatility estimation and predictions.
4. Implied correlations, market parameterization from market prices of option embedded securities. Normal and Lognormal short risk-free rate term structure models (BOT, Ho-Lee, HJM, Black- Karasinski, Hull-White, CIR, Garman-Colhagen, Whaley).
5. General state and/or path dependent tree building techniques.
6. Ho-Lee and Black-Derman Toy model implementation.
7. Random Path generation techniques and its binomial and trinomial implementations.
8. Algorithm calculation for forward substitutions on binomial tree.
9. Futures and options on Treasury futures in binomial framework with variable time steps.
10. Term Structure of volatility and correlation incorporation to term structure models.
11. Volatility curve estimation from volatility-dependent derivatives market pricing.
The following three Groups incorporate approximately 40 models from our List of Analytic Models offered by Quantitative Analytic Systems (QAS) to service the short term market:
I. Convexity Modeling
■ Convexity adjustments on LIBOR and FRA Futures
■ Options on LIBOR incorporating European and/or American Options
■ Options on all other Indexes (CP, Prtme Rate, COFI, T-Bill)
■ Basis Swaps on Indexes (CP, Prime Rate, COFI, T-Bill, LIBOR), all against LIBOR. This includes Spot and Forward Basis Swaps.
■ Swaptions on Basis Swaps on Indexes (CP, Prime Rate, COFI, T-Bill, LIBOR)
■ Spot and Forward contract on Basis Swaps combined into one model
II. Risk Management on Forex Exposure
■ Spot Forward and Options on Exchange rates
■ Spot and Forward contracts on Basis Swaps between US and non US indexes
■ Options on Basis Swaps (Swaptions on Basis Swaps)
■ Quanta Swaps between US index and Foreign indexes.
Ill. Credit Derivative Models
■ Options on Credit spread
■ Credit protection Swap
■ Credit Default Swap
■ General framework for pricing of path-dependent securities (LPS) by applying combinatorial mathematics to binomial lattices.
■ Pricing Mortgages MBSs and CMOs with Linear Path Space.
■ Common stock and stock indexes futures and options.
■ Volatility smiles modeling and implied trees (Derman’s and other methods).
■ Methods of using mean-reversion in short rate distributions.
■ Portfolios pricing, sensitivities calculation and hedging.
■ Portfolio optimization (Linear Programming ), dedication and immunization.
■ Index-amortizing swaps, lookbacks and other path dependent exotics.
■ Pricing and hedging averaging options.
■ Classes, structures sub-routines for solving deferential equations using finite difference methods.
■ Interpreter using visual basic
■ Credit risk term structure modeling and pricing of credit risk derivatives.
■ Options on spot FX, futures and forwards on foreign currencies.