Application Overview

Derivity Analytics comprises of a number of displays tailored for different instrument pricing, sharing a common calculation engine.

The displays are presented in two formats: ActiveX controls and pre-built Excel worksheets.

ActiveX Displays

The functionality covered by these displays include:

• Foreign Exchange and Money Markets
• Forward Rate Agreements
• FX Options

The ActiveX format allows deployment in a range of areas:

• the Derivity Analytics stand-alone application;
• container applications such as TelerateStation or Active8;
• as embedded controls in Microsoft Excel.

These displays share common features.

Excel Displays

The Interest Rate Derivative components are based in an Excel add-in, with complementary pre-built worksheets. These worksheets are easily accessed via the add-in menu, with quick links to the stand-alone application.

Calculation Engine

The core of Derivity Analytics provides key application services.

Data Feed Handlers

The source rates used for calculations is brought in using data feed handlers for the major data platforms:

• Moneyline Telerate Feed, Channel, MTRS
• Reuters IDN and Kobra
• Tibco
• Kapiti Fist

The main transport mechanism used is DDE: a proven, stable interface. However, other feed modules are being added, for example the Telerate Twin API handler bypasses TwinDDE.

Instrument Database

The mapping of the instrument names to underlying data requests is contained within the Instrument Database. This also includes currency properties and currency holiday calendars. A full graphical user interface enables easy configuration, including page parsing.

Rate Modelling

All rates may be manually adjusted, with any dependant calculations being adjusted. Manual rates are indicated with colour coding.

Excel Links

All Derivity Analytics calculations are available in Excel.