Netherlands-based data management specialist Asset Control has released AC Contour, an analytics tool, as part of its AC Business Suite of tools and applications.
AC Contour is a tool for analysing data to create and visualize curves and surfaces including volatilities, correlation and variance covariance matrices, zero curves and bond curves. It was designed in close cooperation with risk and trading experts in six customer institutions, the firm says.
“Why should financial institutions go through major software integration to view and analyse the pricing data they already have?” says Ger Rosenkamp, chief executive of Asset Control. “With AC Contour, customers can immediately transform their raw data into the derived curves and volatilities they need for risk management and trading analytics. Or they can build proprietary models on the fly,”
Rosenkamp says that derived data is one of the more challenging types of data from a management point of view. “It’s absolutely essential for risk management, but the raw pricing data is useless without the other elements such as volatility.”
AC Contour converts data to enhanced data, such as prices to implied volatility, converting one type of curve into another, and enabling scenario analysis through altered attributes. The curve manager coordinates queries with any underlying data model and enables storage of the curve results in the system.
The software is based on Java and XML technology and includes an out-of-the-box library of standard curves, including bond curves, zero-coupon swap curves, FX forwards conversion curves, volatilities, synthetic FX options volatilities, correlations and variance-covariance matrices. It is also a complete development environment for curves, with an intuitive wizard to assist users in rapidly defining, altering or creating new curves. Alternately, the curve formation is fully exportable and can be integrated into other applications, such as Microsoft Excel.