The Energy & Energy Derivatives module of the FOCUS^SQL system is a comprehensive position-keeping and risk management system for tracking portfolios of NYMEX, IPE and SIMEX exchange-traded energy futures and options contracts including crude oil, natural gas, heating oil, unleaded gas and energy derivatives.

The Energy & Energy Derivatives module also offers an array of features to price, analyze and manage basis swaps, fixed/float swaps, and vanilla/exotic options within multi-currency portfolios.

Users can generate flexible swap schedules, which support different settlement dates and amounts to create totally customizable swaps. The Baskets Manager enables the creation of basket and spread contracts and swaps and options on them. Our options model for baskets uses sophisticated mathematical formulas to account for the non-normality of distributions of baskets and spreads. Exotic options include barriers, compound options with term structure of rates and volatilities, digitals and average rate options.

Energy & Energy Derivatives module is a complete stand-alone trading system for pricing, portfolio management, risk analysis and reporting. Together with other modules, FOCUSSQL is a fully integrated system that allows users to consolidate and manage a multi-portfolio, multi-trader, multi-currency, and multi-instrument trading operation.

• Spot/forwards
• Futures
• Commodity swaps
• Average rate options
• Single barrier options
• Double barrier options
• Exchange-traded options
• Window options
• Average strip options
• Range options
• Compound options
• Digital options
• Baskets and swaps and options on baskets
• Spreads and swaps and options on spreads

• Pricing forward curves from a strip of futures or forward rates
• Sensitivity analysis, stress testing
• Intraday feeds for instantaneous market-to-market and P&L reporting
• Support multiple delivery locations and grades
• Full volatility surface by delta, strike, moneyness and tenor
• Position keeping
• Counterpart limit control
• Trade entry and deal capture automatic from calculator or blotter
• Ability to structure and evaluate multi-leg option strategies
• Sophisticated and flexible reporting - realized, unrealized and historical P&L, mark-to-market, position, risk, credit as well as any custom reporting needs

Risk Scenario Manager - allows the user to set up risk scenarios to view just about any result (P&L value or Greek) of the entire or sub-selected portfolio, by varying spot, volatility or time horizon across two axes. Charts and individual figures breakdown is supported.

Positions Calculator - allows the user to quickly change market parameters to recalculate P&L and market values of the entire or sub-selected portfolio. This information can be viewed at trade level detail, allowing intraday viewing and daily exposure of the selected portfolio to various changes in the markets.

Value at Risk Reporting - daily, monthly and regulatory Value-at-Risk calculations using RiskMetrics variance/correlation datasets and Monte Carlo simulation methods.

Risk Management Reports - like gap report, liquidity report, topography report, maturity ladder, P&L decomposition, limits reports and so on.

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