Xenomorph adds pricing models to TimeScape

Pricing models from Monis, Tech Hackers and MBRM are now available through TimeScape Pricing Services, a component of the TimeScape suite that allows firms to deploy pricing models for their traders, quantitative analysts and risk managers. TimeScape Pricing Services can integrate internal and third-party pricing models, and be used for statistical trading analysis and back-testing, basket management and analysis, price and yield spread analysis, P&L calculation and risk reporting.

The integration was completed during the past three months and the models will be available in the near future, said Brian Sentance, Xenomorph’s managing director. TimeScape Pricing Services customers interested in using the pricing software must have a contract with the model vendor and pay a separate fee. Sentance said TimeScape is using this arrangement because it does not want to become a reseller.

“Despite our quantitative background in time series analysis, Xenomorph does not currently intend on entering the pricing model vendor market,” Sentance added. Accordingly, the company looked for partners that could provide the models rather than build it themselves.

“The choice of which [pricing] model to use is up to the client,” said Sentance. He added that it is useful to have access to different models since an asset may price differently depending on vendor model and calculation method. In addition, comparison across models allows for the benchmarking of new models, which helps minimise model risk.

Xenomorph may introduce additional pricing models from other vendors or add new asset classes depending on demand.

Xenomorph has signed a German bank over the past month and is now working on a deal with a European investment bank for TimeScape Pricing Services. The vendor was unable to disclose further details about the deals.

The company is also adding historic credit spread analysis to the next version of TimeScape, which is due to be released in November. This version will support risky yield curves and make it possible to generate and analyse historic credit spreads between risky assets - corporate/sector bonds - and government curves, said Sentance. The company will “review what credit derivative [pricing] models are available in the market, including those from Monis,” said Sentance.

TimeScape combines data management, systems connectivity and scalable pricing analysis of derivatives and fixed-income portfolios, delivering a single view of all asset classes across time. Other components are TimeScape Connectivity Services and TimeScape Data Services.