A unique, powerful and easy to use environment to model and project forward the volatility of spot and forward market prices and volumes. The models apply to security type: equity, FX, interest rates, energy, commodity or any data for that matter
A complete range of mathematical models (stochastic differential equations or SDEs) are offered to choose from. These dynamic models evolve in time in all aspects such as mean or average values including trend and seasonal features, as well as randomness. In this regard, they are different from and more powerful than time series models used in econometrics, or simple volatility matrices.
Build via Monte Carlo simulation of two-factor models very realistic (non-flat) term structure of forward markets. The Monte Carlo engine automatically builds or simulates the spot and forward curves together in a coherent term structure, where nearby forwards are as volatile as the spot and far out forwards have decaying volatility. A Market Price of Risk is estimated for every forward position.
The stochastic models and the estimated parameters are visible and auditable. Monte Carlo runs are sandboxed and results are saved individually. You can modify the parameters to configure your own custom models.
The cloud version is a 24/7 Cloud supercomputing analytics service. No software installation or development required.
Model calibration, backtesting and Monte Carlo executions are all automated.