(A RiskManager Service)
1. What is the Excelsior Tool?
- This tool has been designed to facilitate an easy ‘end-to-end’ proof of concept for calculating SIMM on your sample portfolios
- The tool translates trades from ‘point-and-click’ Excel format into the AcadiaSoft-Quaternion ORE XML format. The XML can then be passed on AcadiaSoft for automatic calculation of the trades’ sensitivities, bucketing of the sensitivities appropriately into the prescribed Common Risk Interchange Format (CRIF), and then on through to the SIMM output in IM Exposure Manager
- The Excelsior Tool is a self-contained, Excel-based template that compiles the XML automatically for a range of trades that you choose, incorporating both ‘plain vanilla’ and complex products
- Trades can be selected from a series of dropdown lists that allows you to choose a representative number of trades across interest rate, foreign exchange, equity and credit asset classes
- The Excelsior Tool allows Clients to see AcadiaSoft’s ‘one connection, one solution’ process – starting with trade entry through the entire IM lifecycle
2. Why would a Client find the Excelsior Tool useful?
The Excelsior Tool is:
- Simple to use
- Shows end-to-end process with visibility of all the steps – XML, sensitivities, IM and the IM Exposure Manager system
3. What assumptions have we built into the Excelsior Tool?
The sensitivity calculation requires the full trade economics be represented in the XML. Our proof of
concept template simplifies the process, but makes some simple assumptions based on the currency chosen
for those representative trades:
- Day count conventions
- Business day conventions
- Holiday schedules
- Additional features (such as amortisation schedules) are not included
4. What are the benefits of using the AcadiaSoft Sensitivities Service?
The main benefits are :
- Ease of use – trades submitted and all processing completed within AcadiaSoft
- Lower cost – need for new infrastructure reduced and the costs of the market data are spread across AcadiaSoft platform
- Client Support – 24/5 provided by AcadiaSoft
- ISDA SIMM™ version – latest version of ISDA SIMM™ is always used
- Standardized methodology – improves transparency and industry conformity
- Future proofing – additional features can be added to the service to satisfy client/industry requirements
How do I get the Excelsior Tool?
Advice and support is also available from your sales contact
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