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Reduce market risk

Today, risk management is more critical than ever before. In order to keep market risk on the books as low as possible, quants in the risk management department have to evaluate the risks associated with many different types of financial products the company plans to buy and sell. Therefore managing risks involve inspecting the models of the structurers or building your own models based on the term sheets. Errors must be an exception, since they can be costly. Model quality is everything in this field.

Adding transparency and flexibility to the model design process

With our solution Theta Suite, quants can structure and evaluate financial products or trading strategies faster and more accurate than ever before. Like designing airplanes using the Computer Aided Engineering software, our solutions support the quants in a best possible way through dynamic model building and generic interfaces.

The coding language ThetaML optimally defines financial products, trading strategies and evaluation models (e.g. stochastic models). This high-level language is backed by a powerful simulation engine and a generic compiler that optimizes the code execution order at minimal memory consumption. ThetaML has a built-in function E() that optimally selects the early-exercise strategies of American-type options, and a built-in function Beta() that optimally obtains the hedging ratios for complete and incomplete markets. The ThetaML keyword fork virtually parallels multiple simulation tasks that project the future paths of assets in different classes. The ThetaML command theta passes model time and enables the quants to define time step(s) of an arbitrary length.

In Theta Suite, the description of the product (payoff structure), the stochastic models and the numerical implementations are modularized. Each individual component is easier to understand than a numerical algorithm that incorporates all the three in one piece of low level code. And, since the product description is separated from the valuation model, a product can be linked with any stochastic models for price valuations.
Easy to understand product descriptions and evaluation models with full traceability during every step of the computation process – – the transparency we contribute to your product design process.

Making quants life easier while reducing model risk

We provide risk management tools that enable quants to focus on developing and improving models instead of spending time in identifying input or coding errors. When modeling in ThetaML, quants can make use of our interface structuring component to check the validity of inputs for immediate feedback at design time, or to check the feasibility of model outputs after the model run. Upon this, ThetaML has multiple levels to inspect models up to every single calculation such that the model is guaranteed to be correct. With minimal training, new employees are able to start working right away with existing models.

Aggregate know-how inhouse

Theta Suite doesn´t come with a set of pre-defined standard products or models. Theta Suite is the standard software that enables you to easily build your own model libraries and to focus on developing and improving models. Thanks to the optimized coding language ThetaML, the models are easily integrable and maintainable. With Theta Suite, you aggregate the know-how in-house.

The five pillars of efficiency

ThetaML is the programming language in Theta Suite. ThetaML has the following features:

  • Expressiveness: All features of financial contracts can be represented in a precise and compact manner, owing to the power of the coding language ThetaML.
  • Modularity: The product structure is separated from model stochastics and numerical details.
  • Transparency: It is easily comprehensible and allows for concise communication and documentation of financial product details.
  • Integrability and Maintainability: Easy integration of existing code allows to build upon previous work.
  • Simplicity and ease of use: Little learning effort is required for a computer literate.