ARMS release 3.1 is now available
ARMS release 3.1 now available
In the latest release of Algorithmica Risk Management System, a number of enhancements are available.
Instrument coverage has been further developed with instruments such as:
- Equity Basket ETF
- Equity Option with Double Barrier
- FX Option with Double Barrier
- FX Asian Option
- Equity Variance Swap
- Callable Bond family
- Bermudan Swaption family
- Constant Maturity Swap Cap with choice of model
- Commodities futures, forwards and options w. asian ending and composite currency adjustment
- Inflation cap
Calculation method Filtered Historical Simulation (FHSVaR) is now among the standard choices of VaR or CVaR. It enables a rescaling of historical samples using current volatility regime, giving a faster adaptation of the risk measure to current market conditions.
Expected shortfall risk (also referred to as Conditional VaR / CVaR) is available as an alternate measure for all risk methods, such as Historical-, Filtered-, and Monte Carlo VaR. All models also come with a current market value mean or a sample mean VaR measure, referred to as absolute or relative VaR.
Server-side ARMS now has support for:
- Built-in parallel processing of all main calculation features
- An enhanced server user interface
- Completely flexibly hierarchy specification with nested trees
- User access control to any parts of the hierarchical trees
- Faster and more compact XML schemas
- Stand-alone calculation times halfed by using vector states
For more information about ARMS please contact Robert Thorén. +46 (0)8 440 4400.