Pricing application MoCA

MoCA - a flexible pricing solution for structured products

You may have already faced the problem: there is an oddly structured product in your portfolio, whose features cannot be completely represented in in-house pricing systems, or if they can, then the theoretically calculated prices of the product are not consistent with market prices.

With the recent turbulence in financial markets, regulators insist on in-house assessments of issuer or counterparty risk. Add to that the need for key figures like Hedge-Fair-Values in accordance with IFRS or sensitivities to shifts in the market data, and you are also faced with the challenging task of finding an adequate pricing model.

While standard pricing libraries offered by external vendors often lack flexibility, setting your own team to work on the problem will be costly and time consuming. What is more, pricing functionality is not all there is to it: IT infrastructure is needed too to store and control market and product data, automate pricing runs on the portfolio, log errors, and create pricing reports. On top of all that, the environment you set up must be stable and robust.

Fortunately, d-fine provides a solution that is cost-effective, comprehensive and quick to set up: MoCA.

MoCA is a pricing system for structured products. It has all the features one would expect (see below), but, unlike most pricing system software, MoCA has a data model which is particularly flexible and easy to configure.

MoCA Features

• Stand-alone: it is a stand-alone application and so completely independent of other systems. 
• User-friendly: its user-friendly GUI makes it easy to enter, change, and monitor all pricing-relevant market and product data. 
• Scenario-analysis: it allows market data scenarios to set up easily and they can be combined with adaptable product filters to launch evaluation runs. 
• Clear reporting: its detailed pricing reports allow for thorough post-evaluation analysis of results.
• Automatic uploads: market data uploads performed on a daily basis are conveniently implemented using an automated CSV-interface.
• Historical pricing: market data is archived and can later be used for retroactive pricing as of any past date.
• Multi-threading: MoCA’s multi-threading abilities enable enhanced performance for the valuation of whole portfolios of products.
• Search functionality: MoCA has adaptable search functionality to help you find products or market data objects.
• Tried-and-tested calculation engine: the calculation engine embedded in MoCA has proven its worth for a range of clients over an extended period of time, and has been in daily use over several years in production environments at selected d-fine client-sites. What is more, since it is developed and maintained by d-fine, the library is updated to reflect changes in the derivatives markets
   

Flexible data model

MoCA calculations refer to one database where all relevant market and product data is stored.

This includes

• Static market data (holiday calendars and market data conventions)
• Raw market data (interest rate index quotes, stock prices, volatilities, etc.)
• Derived market data (e.g. zero rate curves)
• Model parameters (e.g. volatility or correlation parameters obtained from a calibration algorithm)
• Product data detailing the cash flow information

All cash-flow based products can be priced using the automated rollout of cashflows implemented in MoCA, as well as by importing the cashflow data through the CSV-interface.
Generally, MoCA can either pull market and product data from a central database (e.g. MS SQL Server) to ensure the use of consistent market data across several client systems, or use a local embedded database to minimize the resources required for maintenance and implementation.

It is possible to extend the scope of products or market data without touching the data model itself. This reduces the time and effort spent on the introduction of new products and thus provides you with a sound basis on which to build a future-proof solution that is tailored to your needs.

Made-to-measure pricing solutions

MoCA can be adapted easily to meet your particular pricing requirements. Thanks to MoCA’s flexible data model, that process is both quick and straightforward. Once the set of required products has been established, term-sheets included, the process begins. Experienced consultants from d-fine’s Applied Financial Engineering practice analyse the requirements and suggest the most suitable analytics – the models, market data and basic product classes. It is then established which analytics you wish to deploy and what form you wish the reporting framework to take. MoCA and, if necessary, its calculation engine are adapted or extended according to those specifications. The final step, an initial upload of your complete portfolio into the MoCA database, may be left to d-fine or done in-house. 

The end result of this short process is a pricing system that is:

• ready to run;
• comprehensive in terms of product coverage;
• up-to-date in terms of the financial models used;
• integrated into your reporting procedures; 

All of that comes at competitive rates too.

MoCA is currently in use in production environments of selected clients of ours. Perhaps it can help you too.

 Download MoCA Brochure


For further enquiries, or a detailed proposal for your own bespoke MoCA solution, please contact:

Dr. Mark Beinker

Tel: +49 69 90737-305