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SiFVF

SiFVF is the SiGRADE software for a fair evaluation of the value of financial instruments.
SiFVF encloses methods and calculations derived from the most popular evaluation models for derivatives.

By using SiFVF, SiGRADE can help financial institutions in consolidating their own evaluation model, studying and developing new evaluation models or better tuning existing SiFVF models.

Main Features

• Contract data can be automatically acquired from back office derivative processing application if proper interface is in place and realigned afterwards.
• Data of stored contracts may be forced to specific values, despite back office data
• Information necessary for evaluation can be specified for each contract
• Automated data gathering from info-providers
• Automated data storage in history archives
• Manual data entry
• Possibility of manual setting of values for specific evaluations
• Multiple evaluations of same contract with different parameters for different purposes
• Simulated evaluations with changes in market data
• Storage of simulated evaluations

Advantage

• Financial calculation library are implemented in Cobol-CICS-DB2 environment to exploit the power of mainframe computers
• Native communication with other mainframe applications (Back office security processing, IAS, ALM, etc.)
• Yield curves are derived from market data (deposit, futures, swap rates) by “botstrapping"
• Yield curves can be imported from other applications (eg. Kondor +)
• Different methods of interpolation (linear, spline, etc.)
• Several different curves, with their own spread data, can be managed
• Discount curve and risk-free curve, used to estimate the forward rate, IRR and duration, are kept separate