Features
QR Analytics Server Profile
- QR Analytics is unique in the market. With its proprietary high-performance computational (hybrid Java / Matlab) architecture it delivers supercomputing capabilities on just a few Pentium servers. You can seamlessly scale up by increasing the number of servers to augment the number crunching horsepower.
- QR Analytics is a High Performance data analysis, modeling and Monte Carlo simulation environment. Data could be any time series or curves, such as prices, loads or volumes, on any time scale. Outputs include statistical analysis of these curves along with tables, plots and graphs. It offers unprecedented visual display of Monte Carlo simulations of curves through time as spreading risk cones. The performance is real-time, in particular, the joint term structure for spot and forward curves are built via Monte Carlo simulation in seconds.
- QR Analytics is independent from any deal capture, database or risk systems. It connects universally to all databases, e.g., MySQL, Oracle, SQL etc, to load the data it has to model. When purchased along with the rest of QuantRisk Systems, it comes fully integrated.
- Super Computing Architecture. Why should you be wary when other vendors talk about grid computing in risk valuation? The correlation across processes, and hence portfolio layers, cannot be parsed to run on different CPUs and is lost along the way! In short, grid assisted risk valuation amounts to nothing but mixing up the correlation matrix of your portfolios.
- QR Analytics Server offers a revolutionary scalable Vectorized Parallel Computing architecture, enabling it to execute multiple instances of correlated Monte Carlo simulation runs within the same CPU or dispatch it across various machines to take advantage of scaling. For example a market analyst can run a ½ hourly electricity price or load simulation at the same time as another analyst is running a correlated crude and gas price simulation on a daily time scale.
- Scalable Computing: You can run this system on 1 single Pentium machine or scale up to several machines. There is no need for a costly and complicated implementation, scaling is automatic.
Front Office Use Market Intelligence & Real-time Trading Support
Provide connectivity with all data sources, load and manage all data types automatically.
Model, forecast, analyze, and plot any data type: price (forwards and spot) and volume curves or operational schedules. Monte Carlo simulate these curves to predict high / low market prices and volumes, explore arbitrage opportunities, and optimize trading strategies.
Perform real-time Mark to Market valuation of a deal as well its counterparty exposure before a trade is accepted.
Price options with sophisticated option pricing module that uses latest mathematical technique of trinomial trees.
Middle Office Use Risk Valuation Support
Generate thousands of correlated Monte Carlo simulated sample paths for price and volume curves. These can then be used as inputs to any Risk System - be it QuantRisk’s or your in-house system - for risk valuation.
When used for risk valuation, the Monte Carlo engine creates around the clock (under the control a daemon) an optimized hypercube of simulated data (spot, forward prices, volume/load, etc) across all pricing points, time frequencies and the time duration of your portfolio. This can contain billions of data points.
When a trader is about to enter into a deal, the slice of the hypercube needed to value his deal is parsed to value the deal’s MTM, Value and Exposure at Risk before validation is authorized.
Do you have to be a large company, have a large team of quants and analysts, and spend millions to take advantage of QR Analytics Server? No to all of the above! This system is so advanced that it can fly almost by itself on autopilot mode. And our prices are scalable to fit your budget and operations.
