Interest Rates

Interest rate services
SuperDerivatives supports interest rate derivatives through trading, sales, risk management platforms, OTC market data and independent valuations. The system covers over 50 currencies and an extremely broad set of products ranging from simple vanilla swaps and FRAs, to the most complex callable structures.

Trading products
Better knowledge and analytics means more profitability. Cutting edge interest rate derivative analytics and pricing has often been exclusive to the largest banks, but SDX brings this functionality and range of products to a much wider audience. This enables you to achieve better prices and execution, gain a better understanding of risk, analyse performance of strategies and markets and to structure complex deals.

Faster more adaptable systems mean less cost. Since the crisis, the interest rate markets have been changing rapidly and with new regulations still emerging, the changes are not over. A good example of this is the move from LIBOR to OIS discounting for collateralised swaps. While large installed systems struggled to implement new versions, the SDX SaaS delivery model ensured that our users were able to adapt to the new market standards rapidly at no additional cost.

Market data
At the heart of all of SuperDerivatives services is our real time and historical derivative market data. Unlike many of our competitors, our data is not a simple reflection of quotes at the end of the day. Instead, our data is subject to an intensive analytical process that runs throughout the day and ensures our advanced curve and volatility surface models are calibrated to a wide variety of interbank market quotes and actual traded prices. This ensures smooth, continuous and arbitrage free forwards and volatilities for any tenors and strikes. This is critical not just for pricing, but for consistent risk and P&L analysis.

Clarity in OTC markets. Our interest rate market data covers rate curves for over 50 currencies including on and offshore curves for emerging markets, inflation curves, OIS curves, cross-currency swap curves, basis swap curves and BMA curves. Dense implied volatility data for swaption cubes, caps/floors and inflation options, surfaces for 33 currencies from 90 to 110 and tenors from O/N to 30 years.

Independent valuations
We are trusted throughout the industry for our model and data independent valuations of interest rate derivatives and can process everything from vanilla swaps to extremely complex callable structures. We provide our valuation clients with an investigation tool, eValueX, which allows you to investigate the component factors used to derive the value of the trade. It's extremely useful for price investigations.

Core Functionality Click here for a full view

Pre-trade analysis
  • price discovery analysis
  • product coverage
  • market data monitor
  • multi asset historical analysis
  • excel integration
  • product construction
  • strategy store
  • strategy tester
  • formula linker
  • product distribution
  • price discovery on all products in all markets
  • price comparison
  • live market data
  • best reflection of interbank market prices
Quote management
  • online management of quotations
  • request for quote
  • online chat facility with trader
  • automated deal capture
Trade capture
  • one click trade capture
  • integration to downstream systems
  • trade maintenance in SDX
  • trade view
Trade blotter
  • view risk at book/position/trade level
  • view by client
  • manage lifecycle events
  • monitor risk and events

Market data viewer
  • volatility surfaces
  • all curves
  • dividend forecast
  • historical data
Risk analysis
  • manage portfolio or book of risk
  • derivatives and underlying hedges
  • bucketed risk
  • scenario analysis
  • HVaR & CVA
  • transaction & position reporting
  • risk reporting and exposure management
  • report integration to downstream systems