Interest Rate Derivatives

Front-to-Back Office Platform for Processing Interest Rate Derivatives

Managing IR derivatives, whether for investment management, market making, arbitrage or hedging purposes requires a set of tools that support dealing with simple vanilla interest rates up to more exotic, hybrid and structured products.

Financial institutions need to create, price and manage vanilla IR and simple OTC products as well as exotic and structured products in their trading systems.
To achieve this in terms of market data users need features such as accurate yield curves that are precisely calibrated, the ability to manage different forwarding and discounting curves and the deployment of robust volatility management to comply with the ever-changing economic background. It also means having the appropriate tools to manage market and credit risks.

Our expertise

Based on its 20 years' experience of providing tools to manage cross-asset financial instruments, Sophis' trading platform is capable of handling all the common and advanced features for IR derivatives and provides a robust front to back office platform offering portfolio and risk management as well as processing capabilities with:

• A wide coverage of interest rate products and conventions
• Standard interface with real time market data feeds and data providers of bonds, IR futures, bond futures
• In house calibration models, including a stochastic volatility model
• Management of different type of yield curves: Eonia, market curves, forwarding curves, cross currency basis curves
• Automatic processing of coupon payments, cash flows, exercises and nominal amortising
• Real-time sensitivities calculation: IR Delta, IR Vega, duration and convexity
• Large scope of risk scenarios providing the most efficient hedging solutions using liquid instruments
• User-friendly position keeping view where users have direct access to all key information: contract maturity, floating and fixed rate, next coupon amount and real-time Greeks
• Operations processing in a full STP chain

Product Coverage

• IR swaps
• FRA and listed futures
• Cross currency swaps
• Asset swaps
• Future options
• Exotic and structured products: amort./accreting
• Range accruals
• Fixing in advance/in arrear
• Quanto legs
• Swaptions on CMS and on real swaps
• Path dependent swaptions
• Bermudan
• Cancellable
• Standard and digital caps&floors
• Callable structures

Find out about our solutions and technology

Learn more about our customisation capabilities

Read our quantitative team publications