Major ARMS release – version 3.6

With the 3.6 release of the ARMS platform, the module for Interest Rate Risk in the Banking Book (IRRBB) will be available to current and new clients. Using the speed and memory efficient cash-flow engine, the module will provide standardized stress regulatory reporting for the risk department. Using the flexible configuration, the module will work equally well for the treasury department to assess future earnings under different market and margin scenarios. Static and dynamic balance sheet effects can be analysed to provide management with wide set of future earnings scenarios. All other modules in ARMS have various new features and improvements.

Cumulative ARMS release notes from ver 3.3.8 to 3.6.0

Preview at: [ARMS Youtube channel]

Position related fixes and features
– Calibration to external PV interface for all position types.
– New position type Autocallable.
– New position type CDS Index.
– New position type CMS Spread Option.
– Improved liabilility life forward curve tax model.
– New position type, Non Maturing Deposit.
– Float rate loan and float rate loan amort supports fixing frequencies longer than a year.
– Rolling coupons available for IRRBB position types.
– Forward time repricing available for IRRBB position types.

Workspace releated fixes and features
– New IRRBB Workspace with deltaEVE, deltaNII, and deltaNFI calculations.
– New ISDA SIMM Workspace for both sensitivity calculation and initial margin aggregation.
– Possibility to start VaR calculations on a scenario in ARMS Client for the Historical and Monte Carlo methods.
– The Conditional Scenario Methods tab has the new possibility to view results on a position level.
– Search in the workspace tree component now improved with the new OR feature.
– Viewing result PV and VaR using two parallel context mappings added as tab to ARMS workspace.

ARMS Server, data, and database fixes and features
– Added the functionality to import simulated positions from file.
– New job to import market meta data (import_market_meta_data).
– Support for scenarios with ceil and floor on curve tenors.

Module enhancements (overview)
– New module IRRBB released.
– New module to calculate ISDA SIMM margin requirements.
– FRTB updates along new regulatory news and speed-ups to current calculations.
– Tbricks support to protocol version 1326
– WSS7 support for swap fee extraction and separation of forward and discount curves.