Brokerage, software and data services provider GFI Group plans to release a new version of the company’s Fenics software. The version, Fenics FX 2002, was demonstrated at the ACI European Congress in Luxembourg, and was due to be released to dealing desks in early June.
The company says the new release is an upgraded and enhanced version of its market standard FX option pricing and analysis tool, and that nearly every part of the application has been enhanced.
Particular focus has been placed upon exotic pricing, cascading models and risk management modules. The new release also adds a new real time volatility market-data feed that streams data across the Internet from GFInet, the company’s hybrid FX option brokerage unit.
GFI claims that Fenics FX 2002 improves vanilla and particularly exotic mathematics, adding polynomial fit and cubic spline models to its interpolation suite. Both models accurately reflect market dynamics and thus further enhance the price discovery and risk management capabilities, according to the company.
Matt Woodhams, head of financial modelling at GFI, says, “We continuously benchmarked the prices against real market levels as traded on GFI’s brokerage desks. We are confident that this benchmarking allows users to have complete confidence in the accuracy and consistency of Fenics FX pricing.”
The company says users can now create multi-currency, multi-leg option structures and strips in addition to extending the artificial intelligence underlying Fenics FX, and that this allows traders and salespeople to enter such complex structures within seconds. The new cascading model technology allows vanilla and exotic structures to be built, which, once created, then cascade into position keeping, revaluation and risk management functions automatically, without user intervention. This is aimed at dramatically reducing the time needed to support the new structures from a pricing or risk management aspect, thus allowing for faster introduction of new option types.
Nicola Williamson, product manager for Fenics FX at GFI, says, “With accurate pricing, cascading models, pricing off volatility surface and independent, live, market data, Fenics FX 2002 users now enjoy true real time position revaluation. It’s a simple, easy to implement solution for traders, sales and risk managers alike.”
Four Application Programming Interfaces (API) are available to users wanting to customise any part of Fenics FX, for model and interface elements, straight-through processing, market data and security.
John Ashworth, chief commercial officer at GFI, and previously CEO of Fenics Software, says, “Fenics FX 2002 demonstrates the benefits of GFI’s acquisition of Fenics with trading, pricing and market data packaged into a seamless service for end users.”
Mike Binns, product manager for FX at GFI, adds, “Fenics FX 2002 again sets the benchmark in FX option front, middle and back office technology, offering the fastest, most complete, easy to implement and cost effective solution to manage every aspect of FX option trading and sales.”
The new release comes against a backdrop of increased industry efforts to upgrade risk management systems, especially in the exotic field, in the wake of the huge losses at the Allied Irish Banks’ subsidiary, AllFirst Financial. In recent weeks, SuperDerivatives and DerivaTech have released upgraded packages as vendors move to capitalise on the increased awareness of the shortcomings of some bank systems.