Analytic Space: Technical Overview

Introduction

risk management framework

Analytic Space, jointly developed by SciComp Inc. and IBS Capital, is a customizable, analytical framework for modeling and risk managing portfolios of financial instruments including cash, exchange traded and OTC instruments. By aggregating market data, pricing analytics and script writing functionality into a centralized service available across the organization, Analytic Space lets users benefit from a build once, deploy anywhere approach.

Analytic Space features include: an intuitive, configurable environment for defining new financial instruments and reports/analysis (e.g., pricing, risk management, P&L analysis and attribution, capital usage, etc.); the ability to access and share advanced sets of analytical models and algorithms, including a user’s in-house developed and/or third-party licensed tools and pricing libraries; and web-enabled interfaces that seamlessly integrates with Excel, Browser or a custom built front-end.

Analytic Space is a cutting-edge, next generation technology solution that facilitates the development and deployment of portfolio pricing and risk management solutions in the shortest possible time frame and at minimal cost.

Templates and Components

The template is a fundamental building block of Analytic Space. Every component contained in Analytic Space (e.g., market instrument, yield curve, Python script, volatility surface, user-defined object, etc.) is based on a template. A template specifies basic component properties, their types, default values, rules (built-in functions to change properties in a consistent manner) and others.

There are different types of templates, each constructed to accommodate specific requirements for different group of components. New components inherit basic properties, rules and default values from the template. Once the component has been created, its properties can be changed independently.
Template classes include:

  • Market Instrument
  • Yield Curve
  • Volatility Surface
  • Python Script
  • Excel Range
  • Report
  • Commodity Curve
  • User-Defined Object

Analytic Space includes a suite of pre-implemented market data objects (e.g., market instruments used for yield curve construction, yield curve templates, volatility surface templates, etc.) and pricing models for OTC cash and derivative instruments. In addition, sample portfolio/analysis and risk reports are provided. All pre-implemented market data objects, pricing models and reports are completely customizable, composable and extendable by end users.

Use Existing Pricing Analytics

Analytic Space provides users the ability to implement/access their existing internally developed and/or third-party licensed pricing and calibration models for all asset classes. Such pricing models may be written in C++/C#/Python or called as DLLs.

Applied applications include:

  • Define/extend object logic
    • Standard calculations (e.g., instrument settlement date, instrument payment date)
    • Calibration models
    • Pricing models
  • Share extended logic between multiple objects
  • Portfolio/risk analysis, custom reports

Interfacing requirements:

  • Python used as interface for external analytics
  • User developed/third-party libraries
    • Python scripts
    • C++/C# Libraries; or
    • Called as DLLs

Analytic Space Functions

Analytic Space components integrate with MS Excel as a single Excel Add-In module. Once installed and enabled, the module introduces users to an extensive library of Analytic Space MS Excel functions. These functions support full lifecycle of all Analytical Space financial components - calendars, market instruments, various templates, Python scripts, yield curves, volatility surface, user-defined objects, etc.

During an Excel session, user may create, delete, update, customize and query most financial components (business objects) using the Analytic Space functions.

Once created by calling a function on a spreadsheet, business objects stay resident in computer memory for the length of the Excel session (unless deleted explicitly), which makes them highly responsive to multiple user queries. Any business object can be made persistent. That is, it will be available in the future Excel sessions. This also means that another spreadsheet can always activate and access a persisted object without going through its creation procedure and without any reference to the spreadsheet where it was originally defined.

In addition, users can always save any object into an XML file and later upload such XML file back into the application during MS Excel session. This feature enables business component audit and sharing.

Standard Excel Function Wizard dialogue will show a brief description of every Analytic Space function, as well as parameter descriptions. Most parameters have validation rules that define an allowed data type and range of allowed values. An invalid parameter value will cause a validation error message to appear in the Excel Function Wizard, a calling cell and Notifications window.

Management Window

Management window allows dealing with increasing number of business objects. It provides object search, review and manipulation options described later in this document. Using the library of Analytic Space functions in Excel, an experienced user may create fully customized solutions from the ground up. Starting from creation of a custom Calendar, user may proceed to creation of multiple Market Instruments and Python scripts (for business rule implementation), eventually leading to a custom build yield curve objects or financial instruments. All of it created within a single workbook, or even a single spreadsheet.

Ideal Portfolio Risk Management Framework

Analytic Space is designed by business people for business people. Requiring minimal IT support, Analytic Space provides the ideal framework for financial service professionals to easily implement and share custom tailored solutions for pricing and managing exchange traded and OTC instruments.

Analytic Space Features and Benefits

  • Non-monolithic design
    • Custom develop pricing analytics and portfolio risk analysis
    • Cost effective technology that does not require extensive IT expenditures
  • Comprehensive market data infrastructure for pricing and risk analysis
    • Live/Historical/Perturbed Curves and Surfaces can be archived and retrieved when needed
    • Pre-configured and pre-calculated market risk objects
  • Ideal portfolio/risk management tool
    • Model Risk Analysis
    • In-depth P&L analysis
    • Enhanced risk management
    • Optimized capital allocation
  • Designed by business people for business people

 

Analytic Space Overview Movie

 

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