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EMA provides comprehensive coverage of equities, funds, credit instruments, currencies and derivative products.

Excerpt is fully capable of handling most invested asset classes currently traded by institutional asset managers. All assets listed below include a full pricing model to allow the inclusion of the asset into VaR simulations or detailed stress tests.

Should our software not cover any equities/indices/currencies our clients are interested in modeling, we can either include the relevant instruments in the next release or the users can import the relevant data themselves using a time series of returns.

In addition, the system is fully extensible allowing either EMA or the user to improve or create new pricing models. New types can be added by the client using our .NET API or by EMA.

Assets currently covered include but are not limited to:

  • Equities, indices, funds, commodities and options on the same
  • UK government bonds
  • Index linked government bonds
  • Property (both REITS and direct holdings)
  • Cash
  • Hedge Funds

Fixed income products

Excerpt covers over 300,000 government, corporate and municipal bonds, including floating rate notes, index-linked and sinkable bonds. Bond definition details are downloaded automatically if Excerpt is installed on a Bloomberg terminal. The Excerpt factor database contains factor model information for the swap curves and government bond yield curves for all the major countries in addition to hundreds of spread curves for particular categories of bond. Bond prices and risk statistics are calculated using the discount rates from the appropriate yield curve combined with an appropriate pricing model dependent on the type of bond being priced. Callable and putable bonds are priced using a standard Hull-White one-factor model. A basic convertibles model is also included, as are models for simple fixed income derivatives – bond futures and bond options.

The credit risk is incorporated in one of two ways. For governments, municipals and other types of bond where the issuer is not a traded equity, the credit risk is included via the spread curve used to price the bond. For corporate bonds the credit risk is calculated using a CreditGrades-type model which maps the credit risk onto the equity risk of the bond issuer.

Summary of products covered:

Governments, Corporates, Municipals, Agency, Index-linked, Floating rate notes, Structured coupon, Sinkable, Callable/putable, Convertibles, Bond futures, Bond options

Interest rate products

Excerpt includes models for a wide variety of exchange traded and over-the counter interest rate products including swaps, both fixed/float and float/float, short term interest rate futures and forward rate agreements.

Credit products

Excerpt includes a simple model for pricing credit default swaps, mapping the credit exposure through the equity of the issuer using the CreditGrades model described previously in the context of corporate bonds.

Currency products

All the major currencies are included in the factor model and therefore any long or short currency positions can be held in your portfolios. Vanilla FX derivatives such as FX forwards and options can also be included.

Baskets and composite instruments

All of the products listed above can be mixed together in user defined composite instruments which can be held as a single item in your portfolio or benchmark.

Pricing Models

All pricing models in Excerpt are industry-standard vanilla pricing models and are based either wholly or in part on methods described in Hull “Option, Futures and Other Derivatives” (3rd Edition). Please contact EMA if you would like more details about the exact implementation of any of the models.

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