FENICS Launches LSV-Based FX Options Pricing Software For Exotics

Institutional software company FENICS has today announced the release of FENICS Professional 12.3, which aims to provide users with tools

FX Options software provider FENICS has today announced the release of a new pricing model which is intended to provide its users with a set of tools in order to price exotic FX options accurately.

The new solution, which was launched today as part of the company’s FENICS Professional suite of pricing, distribution, risk management and analytics components under the designation of FENICS Professional 12.3, operates quantitative models in order to enhance FENICS’ exotic math offering.

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A Local Stochastic Volatility (LSV) pricing model within FENICS Exotics, complete with a calibration data feed, is utilized to achieve the accurate pricing of complex exotic options, which according to FENICS, should instill confidence in its users.

This release also brings full support for Target Accrual Redemption Forward (TARF) options throughout the FENICS Professional product.

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Calibration is a key part of an LSV model. Within FENICS Professional 12.3 customers can choose whether to use FENICS’ calibration, their own, or compare the two. The addition of these complex analytics along with this flexibility, give FENICS’ users a clear, accurate solution for FX options pricing and the control required for risk management.

Richard Brunt, Managing Director of FENICS issued a commercial statement today regarding the release: “Our customers requested that we add an LSV model to our existing exotic package, and we are delighted to have delivered this. The feedback during our soft launch phase has been excellent, and we look forward to rolling out this new functionality to our wider client base.”

Richard Brunt,
Managing Director, FENICS

“Our investment in providing cutting edge maths models and new option types is on-going and our models remain at the core of the FENICS Professional product,” concluded Mr. Brunt.

John Crisp, Director of the Product Group at FENICS added: “FENICS has applied expert quantitative resource to building these models within the FENICS Professional solution. We are proud to be one of the first in the FX space to offer up-to-date calibration data as part of this service.”

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