FSI General Features
- Ease of Use
- Fast Data Import from Bloomberg, Chasen, Intex and In-House Systems
- Quick Scenario Creation
- Advanced Quantitative Techniques for Valuation and Risk Measurement
- Detailed Scrutiny of Individual Securities
- Multiple Portfolios Run Under Numerous Scenarios
Technical Features
- Platform Independent ( Windows, Linux, Unix)
- Written in C++ with a Java Wrapper and MS SQL back end database
- MS SQL database makes integration into any environment easier
- Employs distributed processing and multi-threading for speed and efficiency
- Batch Processing can launch multiple portfolio analyses concurrently and via a scheduler
- With Batch Processor, a huge amount of work can be processed at the push of a button
Security Definition
Fin-Scope provides the proper data template for the full range of fixed income instruments. Data can be easily imported from existing in-house systems or data vendor or input manually.
Security Analysis
An individual instrument can be analyzed in great detail with price, OAS and Greeks produced under numerous scenarios.
Portfolio Manager
Portfolios can be easily imported and run under numerous scenarios with the results stored in Fin-Scope for fast retrieval or exported to other systems. Complicated scenarios are simple to structure. Multiple portfolios with many scenarios can be run in batch or via a scheduler.
AFT Prepayment Model
AFT is the pre-eminent source for prepayment models for a wide variety of mortgages (fixed, adjustable, hybrid, prime, sub-prime, etc.), home equity loans, home equity lines of credit, manufactured housing and others. The AFT Interest Rate Processor, vital to OAS calculations for path dependent securities, is housed within Fin-Scope.
Technical:
Recommended Client/Server Architecture and Distributed Processing Configuration FSI System employs simple two-tier client/server architecture where the user interface resides on a client machine (or user desktop environment) and the database services are managed by a server machine that is typically more powerful than the client machine. The FSI System makes use of a separate SQL server machine (see FSI User Manual for specifications) to implement the client-server architecture.
In addition, FSI makes use of a distributed processing environment to minimize computation time. Multiple calculators can be connected via a network so that more than one processor can be employed to perform the processing for an individual task.
In the figure above, the FSI GUI, FSI calculators and FSI SQL server are all located on different computers. These computers are connected together via a local area network. In the recommended setup, a FSI GUI machine is used solely as an interface machine for the user to input information via a keyboard, execute application commands, and view output results to a screen. The FSI calculators are typically more powerful machines used to perform the complex analytic calculations. Both the FSI GUI and FSI calculators act as ‘clients’ in the client/server relationship with the FSI SQL server machine.
The SQL Server is used to retrieve and store market data (yield curves, parameters), input data (portfolio information, deal info, etc.), user settings, and calculation results. The FSI GUI and FSI Calculators invoke services from the database server by communicating through SQL statements. The database server provides methods for processing data via stored SQL procedures that are implemented on that machine. The server is responsible for managing database requests and handling the functions required for concurrent, shared access.
Although the SQL database server and client application can reside on the same computer, the optimal configuration is one where the client portions (FSI GUI, and FSI calculator) and the server portion (SQL server) are executed by different machines connected via a local area network. This is the configuration shown above.