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Precious Metals

The Precious Metals module is a comprehensive intraday pricing, deal capture, position-keeping and risk management system for tracking portfolios of both exchange-traded and over-the-counter precious metal spot/forwards, leases, futures and option contracts.. The module allows users to value options from pricing curves derived from a strip of precious metal futures contracts or lease rates. It supports a complete volatility surface for pricing options. The system offers pricing and position keeping for all exotic options as well as metal loans, leases and lease rate swaps. FOCUSSQL also offers a Finite Difference option-pricing model, which allows evaluating multiple volatilities and interest rates when pricing options.

Instruments supported:
  • Metal Spot/forwards
  • Metal futures
  • Exchange-traded options
  • Leases and lease rate swaps
  • Loans/deposits, including floating rate
  • EFPs (exchange for physicals)
  • Metal spreads including fixed/floating
  • Average rate (Asian) options
  • Range options
  • Single barrier options
  • Lookback options
  • Double barrier options
  • Compound options
  • Window options
  • Digital options
  • Step-up windows options
  • Chooser options
  • Contingent premium options
  • Binary options Product features:
    • Pricing forward curves from a strip of futures or lease rates
    • Sensitivity analysis, stress testing
    • Intraday feeds for instantaneous market-to-market and P&L reporting
    • Support multiple delivery locations and grades
    • Multiple volatility pricing
    • Position keeping
    • Real-time 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 management features:

    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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    •     System Overview
        FX/MM
        FX Options
        Fixed Income
        Equities and Equity Derivatives
        FX Margin Trading
        Base Metals/LME
        Precious Metals
        Energy and Energy Derivatives
        Interest Rate Swaps
        Securities Margin Trading
        Limits Server
        Soft Commodities
        Weather / Emission Trading

    FOCUS Demo
    FOCUS Demo

    Created by EGAR Technology Inc. © 2000-2009 All rights reserved.
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