Market Data

Deriscope's main offering is financial derivatives analytics, where by "analytics" is meant the set of algorithms, of which the task is to produce quantities of financial interest - such as fair prices, risk, DV01s, VaR, yields, carry amounts, projected cash flows, implied interest rates, discount factors, implied volatilities etc - out of input data representing a certain collection of financial instruments, market data and modelling assumptions.

For the user's convenience, the wizard generates formulas assuming structures that reflect the current market prices and conventions as close as possible. Nevertheless, there is no guarantee that the input data generated by the wizard truly abide with the financial conventions that currently prevail in a particular pricing context. For example, the wizard may create an interest rate swap in a specific XYZ currency with an assumed two business days settlement period, although the currently in place conventions for the XYZ swap market may dictate a one business day settlement period. It is ultimately the user's responsibility to browse through all the wizard-generated input data, ensure they abide to the applicable conventions and - if not - edit them so that they do.

In all cases, Deriscope is not capable of assuring the veracity of the input data as long as they are mathematically valid and do not lead to inconsistencies. For example, the user may supply as input a EUR/USD spot FX rate of 100 or a swap spot settlement of 25 business days and Deriscope will hapily accept it all as valid input!

With regard to market quotes, Deriscope has specialized formulas that display live feeds and historical data acquired by certain live feed providers, such as Yahoo Finance. Most of these live feed services are either free or require a low cost subscription with the respective provider. They mostly relate to stock prices and FX spot rates and less to other quotes, such as interest rates or option prices. Note, these feeds are generally not reliable enough for professional trading, but may be useful for middle office or academic purposes. More details about Deriscope's live feeds capabilities can be found at the blog article Introduction to Deriscope – Part 5: Live Feeds.

Users interested only in Deriscope's Live Feeds capabilities can purchase a low priced Live Feeds license at the Live Feeds Pricing page.