Watch the video to learn about the application
Derivatives Automated Valuation Engine is a web-based tool for fast and intuitive valuation of the following types of financial instruments:
- Bonds
- FX forwards
- FX swaps
- FX options
- Interest Rate Swap
- Interest rate swaps (incl. cross-currency swaps)
- Forward rate agreements
Why is Derivatives Automated Valuation Engine helpful for your business?
- Interactive interface of the tool facilitates the process of financial instruments valuation and allows browsing and testing the results.
- Standardized pricing models implemented in the application with best market practices in mind guarantee accurate results, reducing a risk of human error.
- Optimized engine of the tool ensures that the valuation of large portfolios of financial instruments is done within minutes.
- Comprehensive supporting materials available within the application help the user onboard swiftly and efficiently.
Functionalities
Calculation of the Fair Value of bonds and valuation of the instruments by Amortized Cost method.
Valuation of the most most commonly used currency derivatives:
- FX forwards
- FX swaps
- FX options
Valuation of the most pooular IR derivatives:
- Swaps (IRS)
- Cross-currency IRS
- Forward rate agreements
Definition of interest rates scenarios and valuation of instruments under them.
Calculation of the adjustments reflecting the counterparties’ (CVA) and own (DVA) creditworthiness.
Analysis of the valuations’ results and their sensitivity to market variables and instrument’s reparametrizations.
Export of the results for further analysis or reporting purposes.
Access to the created portfolios, possibility to share, copy and delete the portfolios any time.
Own insight into valuation of the held derivatives does not only increase the quality and comfort of portfolio management by providing a comprehensive portfolio outlook and allowing to check the conformity of externally provided valuations, but as well facilitates the derivatives-related discussion with an auditor.
Przemysław Paprotny, Partner at PwC Polska
Valuation process in 3 simple steps
Thanks to Derivatives Automated Valuation Engine the process of financial instruments valuation is easier than ever
Import the instruments and market data
- Use the standardized input files to fill the data in.
- Consult the available in-app support materials if needed.
Valuate the instruments and explore the results
- Value the instruments with one click.
- Calculate CVA and DVA if required.
- Study valuations under different parametrizations.
Download the report with the valuation results
- Export the detailed results for a particular instrument or for the entire portfolio.
- Use the detailed yet user-friendly reports for further analysis or reporting.
Pricing
- Valuation of up to 5K financial instruments annually for an individually agreed numer of users
- Valuation of up to 25K financial instruments annually for an individually agreed numer of users
- Valuation of up to 100K financial instruments annually for an individually agreed numer of users
- Valuation of up to unlimited numer of financial instruments annually for an individually agreed numer of users
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