The financial crisis has lead to changes in both the structure and assumptions of the global financial markets. The advent and reinforcement of the Central Clearers for derivative transactions has brought with it the potential and requirement for valuation models that take into account both collateral funding and the Central Clearing curves.

The loss of the ‘risk free’ assumptions that have been applied to LIBOR-based pricing means that ‘non-collateralised’ trades also require a new valuation paradigm.

The Multiple Pricing Curve functionality in Verasis enables you to define, maintain and utilise a complete range of curves in valuation models.

So now your business can:

• Define a range of curves by currency, including:
  • Funding Curves
  • Pricing Curves
  • Interest Basis Curves
  • Cross Currency Basis Curves
  • Ratings / Counterparty / Credit Curves
  • Shift and Spread curves
• Allocate different curves for discounting and rate implication purposes
• Allocate curves at trade, rate code, or currency levels

With the Multiple Pricing Curves functionality in Verasis you have an intuitive and flexible tool that enables you to:

• Structure and maintain as many yield curves as it requires for any currency
• Structure and maintain as many spread structures as it requires for the generation of spread curves
• Structure and maintain as many shift / stress scenarios as it requires for the generation of scenario curves
• Allocate both discounting and forward rate curves at the currency, counterparty, rating, trade cash flows levels