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VectorsTM Valuation Routines combine our proprietary term structure models, prepayment models and cutting-edge valuation techniques with internal or third party cash flow engines to provide a turn key OAS solution. The system covers fixed-rate, ARM and hybrid ARM pass-throughs, CMOs and ABS, as well as common rate derivatives. Cashflows for structured instruments, CMOs and ABS, use internal seamless links to Intex or Chasen (vendor license required).
Valuation outputs include OAS or a measure reflecting the prepay model risk called prepayment risk-and-option-adjusted spread (prOAS), effective duration and convexity, key rate durations, prepayment tuning durations, total return, scenario analyses, static and forward curve results.
Valuation Solution Licensing Options
 OAS Spreadsheet (Excel)
Our OAS Spreadsheet provides a full range of static and OAS-based analytics in an easy-to-use Excel format. The application can import common market data and security specific information for fixed and adjustable rate specified pools directly from Bloomberg.
OAS Subroutine
Integrating our OAS library into client proprietary systems allows powering large-scale business applications using full AD&Co. analytics. Our libraries are delivered for Windows and UNIX developers.
RiskProfiler™
This is a full valuation solution for large portfolios featuring a SQL database and well-organized front-end that exposes all AD&Co. tunings and options.
Interest Rate Models
Our term structure library includes one-factor lognormal, normal and squared Gaussian models and a two-factor normal model. The volatility and mean reversion on all the term structure models can be calibrated to a matrix of ATM swaption volatilities. The interest rate library powers the OAS system, but can be licensed separately.
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