Ferential Systems Inc.
Trading and Risk Management Systems
Precision Analytics and Proven Models
Pyramid provides comprehensive real-time updating of individual trade and portfolio valuations with user defined recalculation frequency intervals. Pyramid’s proprietary Rate Master interface allows real-time market data capture from independent market data providers. Users can view and report, in real-time, deal-level or portfolio-level analytics such as interest rate or volatility sensitivities, PV01, DV0X, MTM, Delta, Gamma, and hedging relationships.
Curve Building and Valuation Models
Pyramid offers maximum flexibility in the development and implementation of valuation models, discount and dependent curves, and volatility surfaces. Use Pyramid’s market-calibrated models or call your own proprietary or customized analytics. Create templates to save curve definitions and define dependencies and other relationships among curve types. Gain real-time control of interpolation and bootstrapping methodologies, convexity adjustments, and volatility skews. Build single-currency discount and basis curves, cross-currency basis curves, and OIS curves.
Users can build scenario risk templates to shift discount curves, forward rates, underlying market data, spread relationships, and volatility assumptions to see how hedging relationships and portfolios perform under different market conditions.