Valuations
Acadia's ORE (Open Risk Engine)-based platform provides valuations across all asset classes including Interest Rates, Foreign Exchange, Credit, Inflation and Commodities and supports all standard and non-standard derivatives.
Engagement Goal:
We were tasked with implementing a pricing engine for structured investments as well as their entire derivatives portfolio.
Project Description:
Quaternion Quant Services implemented an engine for pricing highly structured investment products in the fixed income class. These products had hybrid features, such as inflation, FX and credit, which added to the complexity. In a later project phase, the team extended the Open Source Risk Engine (ORE) to cover the asset manager’s entire derivatives portfolio, which further reduced the cost of external pricing services.
Engagement Goals:
Quaternion Quant Services were hired to quantify “in-the-money” features of existing CSAs as basis for upcoming CSA renegotiation.
Project Description:
Quaternion’s client was approached by a large group of dealer counterparties seeking to restructure old-style CSA agreements. The client had a large outstanding variation margin (double-digit billion EUR) and wanted to realize the value mainly contained in the collateral interest floors of its CSAs. Our Quant Services team was engaged to calculate the value of the “in-the-money” features of the client’s CSAs and hence verify independently that the compensation offered by counterparties was fair. The portfolios totaled several thousand Swaps, FX Swaps, Bermudan Swaptions, Inflation Swaps, BMA Swaps, CDS, and other types of structured products. Based on Quaternion’s valuations, the client was able to realize a triple digit million Euro amount in compensation across all portfolios.
Engagement Goals:
Quaternion Quant Services implemented a CSA valuation platform and variation margin forecasting tool.
Project Description:
In the context of its CSA renegotiation, the client engaged Quaternion for the implementation of a CSA valuation tool that priced the value of its CSA’s features under renegotiation, mainly the collateral interest rate floors. Quaternion implemented its Open Source Risk Engine (ORE) into the client's IT infrastructure, building the trade and market data interfaces from the front office systems. Based on the ORE calculations, the client successfully renegotiated the affected CSAs. The client subsequently introduced ORE+ as a forecasting tool for variation margin to support its daily liquidity management process.
Watch this short video to learn more about the Open Source Risk Project. Roland Lichters, formerly Co-Founder of Quaternion and now Co-Head Quantitative Services at Acadia walks you through ORE's history, project and analytics scope and demonstrates how to get started quickly with ORE.
Check out the ORE Academy for a full library of learning materials to discover all the possibilities within ORE.
