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August 2001 - APeX Version 5.0 Release
Compound Options - Bermudan Callable Topsider Notes and Callable Range Floaters can now be priced in APeX 5.0 via an innovative pricing methodology. These structures can easily be customized to incorporate lockout periods, step-up coupons and caps/floors. These structures can be priced with either APeX's multi-factor HJM model, or its one-factor BK and Hull-White models.
APeX Live! - APeX now automatically reads and updates live market feeds, rebuilding the curve and volatility surfaces, to provide live deal prices and hedge parameters.
Horizon P+L: APeX can now calculate horizon P+L for arbitrary trades with user-specified curve (e.g., bullish flattening) and volatility scenarios.
March 2001 - APeX Version 4.1 Release
Range Floaters - There are now specialized deal templates for Range Floaters, and Asset Swaps. Asset Swaps are priced off of the Libor curve via credit-specific spread curves.
Static Replication - CMS Products (Caps/Floors/Swaps) can now be priced using static replication via European Swaptions. This allows for the direct incorporation of volatility skews/smiles of the swaption market. Click here for the paper describing our methodology.
Multi-Currency HJM (Beta) - The Multi-Factor HJM engine in APeX is now Multi-Currency; allowing for pricing and hedging of Long-Dated FX Options, Quantos, and Bermudan Cross-Currency Swaptions.
November 2000
APeX Version 4.0 Release - Local Calibration

- 3-Click Calibration, Pricing, and Hedging - Local Calibration allows the user to calibrate, price, and hedge any exotic (e.g., Bermudan Cancelable Swap) in 3 simple clicks. Now, the user can build and calibrate the models (Multi-Factor HJM, BK/BDT, Hull-White) tuned specifically to the structure at hand. Global Calibration is still available for efficient portfolio-level pricing and risk-management of exotics.

- AUD Swap Curve - The AUD Swap Curve built from swaps of different frequencies, and the BBSW Futures contracts is now fully supported in the APeX Market Manager.

- A new downloadable demo version of APeX Version 4.0 is available.
Bloomberg Alliance - The APeX Market Manager can now access live feeds provided via Open Bloomberg. The new feed mechanism allows the user to specify any Excel-compatible OLE/DDE source for live feeds (Bloomberg, Reuters/TibCo, Bridge) while providing maximum customizability of the feed logic.
New Performance Benchmarks - The following benchmarks were obtained by pricing the Bermudan Cancelable Swaptions using a 1000-path, 2-factor HJM Model on a 500MHz/128MB Pentium PC.

Bermudan Break-Even Rate/
Spread to Swap Rate
StdDev(Price) PV01 Vega First European
Swaption Vol
3nc1 6.88% / 51bp 0.5 sec 1.2 cents 1.5 cents 4.4 cents 15.9%
5nc2 6.98% / 52bp 1.0 sec 2.8 cents 2.7 cents 10 cents 16.6%
10nc5 7.11% / 49bp 2.6 sec 5.8 cents 5.8 cents 19 cents 15.6%
10nc2 7.60% / 98bp 4.5 sec 7.7 cents 4.1 cents 24 cents 15.5%
August 2000
APeX Version 3.5 Release - New Products

- New Deal Templates for Reset Caps and Vol Bonds. These structures can be priced either analytically, or via HJM Multi-Factor model. When priced analytically, the volatility can be specified as flat, or sourced from either the Swaption Vol matrix or the Forward-Forward Vol grid. Similarly, the correlation can either be a flat number or sourced from the factor structure. Additional features include implied-vol and implied-correlation calculators, and leverage-factor solver (Vol Bonds).

- New Deal Template for AutoCaps: In this variant of M-out-of-N FlexiCaps, the first M (out of the total N) in-the-money caplets/floorlets are automatically exercised.

- Zero-Coupon Multi-Callable Swaptions are now supported in the Bermudan Swaption Template. Moreover, the exercise probability for each exercise date is reported in all supported models: Multi-Factor HJM Simulation and BK, Hull-White Lattice models.

- The Multi-Factor HJM model now supports Skews and Smiles through a Volatility Cube. The parametrically-defined volatility cube is respected in all diffusion dynamics: Log-Normal, Normal, CEV.
RISK Magazine exclusively features Panalytix in its article, Multi-Factor Pricing Software on the Web, August, p. S44. "The system features Heath-Jarrow-Morton multi-factor modeling capabilities and high performance calibration techniques." Brian Fehrenbach, Director of Derivatives Trading at FleetBoston states working with APeX "was an optimal way to get state-of-the-art technology which wasn't available at the time in any commercial system." Fehrenbach adds, "The system enables you to model all sorts of potential structures quickly and efficiently ... It contains all the information you need to properly value and analyse derivatives structures."
May, June 2000
Panalytix is a featured exhibitor at Risk 2000 in Boston, June 13 and 14; World Trade Center of Boston, One Seaport Lane.
Panalytix releases its new website designed by VergeMedia.com.
April 2000 - APeX Version 3.4 Release
The innovative HJM calibration methodology has been applied to the Short Rate Lattice models (BK/BDT, Hull-White/Ho-Lee). The user can specify either a parametric vol/mean-reversion curve, or a flat-vol/flat-mean-reversion for calibration. Moreover, the user can keep the mean-reversion fixed at a prescribed level.
New Deal Templates for Averaging, Compounding, and Zero-Coupon Swaps. An example of the functionality is: Daily weighted or unweighted average of any index (say 1M-Libor), compounded monthly at a fixed-rate or any index+spread, paid quarterly. This allows for the exact definition and pricing of CP, FedFunds, T-Bill, and Prime swaps.
Book-level Cap and Swaption Vega breakdown into expiration, maturity and strike.
February 2000 - APeX Version 3.3 Release
Significant speed improvement of the BK/BDT and Hull-White/Ho-Lee multinomial lattice models with user-specified tree-date discretization (i.e., daily/weekly in the front, monthly/quarterly thereafter ...)
New Deal Templates for Bermudan Cancelable swaps, and Callable Bonds, with Implied B/E rate calculator, and rate-solver for a given upfront. The models supported for the Bermudan structures are HJM, BK/BDT, Hull-White and Ho-Lee.
New Deal Template for FlexiCap/Floors (M-out-of-N) with implied-strike calculator. APeX efficiently prices this deal type using a single-pass recursive lattice-navigation algorithm.
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