Soft Commodities

The Soft Commodities module is a comprehensive real-time pricing, deal capture, position keeping and risk management system for tracking portfolios of both exchange-traded and over-the-counter agricultural cash, futures and options contracts. The module provides users the ability to define pricing curves derived from a strip of futures contracts or forward points, which can be interpolated using a step-up function between data points.

It supports a complete analysis of volatility surfaces for options pricing. The system offers pricing and position keeping for an extensive range of agricultural swaps, including any type of custom average for the floating side of the swap.

Users can generate flexible swap schedules, which support different settlement dates and amounts, so that users can create totally customizable swaps. The Baskets Manager enables creation of basket and spread contracts and swaps and options on them. Our options model for baskets uses sophisticated mathematical formulas to account for the non-normality of distributions of baskets and spreads. Exotic options include barriers, compound options with term structure of rates and volatilities, digitals and average rate options.

FOCUS SQL supports all different types of units and unit conversions. It also supports many packaged strips of options and average strip options used in certain markets. Other such option packages can easily be added as a custom feature.

Instruments supported:

• Spot/forwards
• Futures
• Commodity swaps
• Average rate options
• Single barrier options

• Double barrier options
• Exchange-traded options
• Window options
• Average strip options
• Range options
• Compound options
• Digital options
• Baskets and swaps and options on baskets
• Spreads and swaps and options on spreads

Product features:

• Pricing forward curves from a strip of futures or forward rates
• Sensitivity analysis, stress testing
• Intraday feeds for instantaneous market-to-market and P&L reporting
• Support multiple delivery locations and grades
• Full volatility surface by Delta, strike, moneyness and tenor
• Position keeping
• Counterpart limit control
• Sophisticated and flexible reporting — realized, unrealized and historical P&L, mark-to-market, position, risk, credit as well as any custom reporting needs
• Trade entry and deal capture automatic from calculator or blotter
• Ability to structure and evaluate multi-leg option strategies

System Overview

FX/MM

FX Options

Fixed Income

Equities and Equity Derivatives

FX Margin Trading