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The Formula Page is an ideal tool for traders and structurers for pricing one-off deals and non-standard payoffs. The user can easily define, price, hedge, and book any deal as a formula trade. The free-form of the syntax achieves this with no screen clutter or confusing toolbars or drop-down menus. Moreover, as the user has access to a full language, there is no need to wait or pay for new deal types to be added to the firm's pricing system, or for the new release and deployment of an updated version of a commercial system.
Fast run-time parser: No need to recompile the code, or rely on in-house or commercial technical staff to add new deal templates.
Vectorized: The parser is invoked once for each cashflow, regardless of the number of simulation paths or tree nodes.
Access to prior cashflows' indices and coupons: A Ratchet Swap can simply be defined as "min(Libor3m + 0.50%, Coupon[p-1]+0.25%)".
Intuitive syntax: The coupon formula follows a Trade Confirm Language, familiar to all traders and structurers. An Inverse Floater can easily be defined as "max(0, 12%-2*Libor3m)".
Access indices across asset classes: Just as for all other deal templates in the APeX Deal Manager, any index, either user-defined or available in the system can be used to form the Coupon Formula. For example, an outperformance option can be defined as max(CMS10y, 90%*SP500YLD).
Reset Caps: max(0, Libor3m[p]-Libor3m[p-1])
Structured notes with periodic or permanent knock-out or knock-in
Inverse floaters
Spread options
Ratchet swap
Swaps with periodic or lifetime caps and floors
Index-amortizing swaps
Trigger notes
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