Interest Rate Derivatives

To avoid losses from interest rate fluctuations in the market, Interest Rate Derivatives provide a hedge instrument to manage these rate volatility risks. Calypso® Interest Rate Derivatives solution enables trading, risk management and processing of a broad range of products, from high volume vanilla to complex yield-enhancing exotic products, through our powerful, cross-asset front office user-friendly thin-client Calypso Workstation.

The Calypso solution provides a host of innovative features for the creation, display, pricing and processing of complex structures. Calypso eXSP (eXotic Structured Products) uses Option Framework for on-the-fly creation, calibration of new payoffs for exotic instruments through templates which can be reused or modified for intuitive streamlining. This innovative approach to structured product provides rapid time-to-market for a broad variety of instruments.

Calypso® Interest Rate Derivatives solution includes dynamically configurable real-time cross-asset risk and hedging management at the portfolio level with full drill-down to individual positions and trades. Highly scalable to support high volume trading with an open architecture built on standard interfaces for connectivity to global platforms.

Another major innovation, HyperSurface, is a visual work surface that allows users to configure complex market data structures – and underlying instruments – as needed for new models and products. This tool allows faster deployment of new products and models which depend on complex data structures such as term structure of correlation. HyperSurface’s flexible architecture makes it easy to add generators, interpolators, and availability to Calypso pricers and customer models through standard APIs.

Calypso also provides for simplified and automated collateral management through a central docking framework for OTC derivative trades and supports straight-through processing - STP, accounting and compliance reporting for both vanilla and exotic interest rate derivatives across the whole trade lifecycle with our proven back office solution.

Calypso provides a variety of curve generation routines and volatility surface algorithms, out-of-the-box, for simple and complex models with full connectivity to real-time market data. Using Calypso’s Zero Curve Window, curve construction on based on Overnight Index instruments for OIS discounting and multi-curve generation is easier than ever. Manage zero curve generation on underlyings, including specific start/end dates, averaging and fixed-float cross currency swaps and back-to-back quotes on basis swaps.

Calypso benefits include:

• Front-to-Back
• Intuitive and efficient trade entry — from vanilla to exotic product structuring
• Valuation and risk processing down to cashflow level with horizon simulations
• Margining and risk methodology for OTC trades
• Generate hedge recommendations based on sensitivities
• Flexible design of business workflow rules for tracking trades over the full life cycle
• Security control via role-based access permissions at product and workflow levels
• Continuous global follow-the-sun processing and accounting covering multiple end-of-days and time zones
• Integration with MarkitWire and TriOptima
• Lower total cost-of-ownership
• Rapid deployment
• Calypso Fast-Track
• SaaS