Calculation cores

Calculation cores

By calculation core we understand, (financial-) mathematical algorithms, which are comfortably provided as an independent application. For this purpose, customer-specific functions are implemented by us in the mathematical software Matlab and made available as a compiled program for easy and uncomplicated integration into your programming language / software environment. For example, Quasol calculation cores can be supplied in the following formats:

• C/C++ Shared Library
• Excel Add-in
• Java Package
• .Net Assembly
• Python

After installing the Matlab Runtime provided free of charge, all the functions and resources of the extremely powerful special software Matlab are implicitly made available to the users of our calculation cores. The calculation core is located on the end user’s side, which ensures that no data leave the software environment. Our calculation cores are particularly suitable for solving complex mathematical / statistical questions and for the rapid processing of large amounts of data. In the meantime, calculation cores are being used in 6 European countries to solve a wide range of different questions. Examples of applications in which our cores are already used:

• Valuation and risk measurement of derivatives
• Robo-Advisory
• Optimizationunder additional constraints
• Complex trading strategies
• Key figure calculations using large amounts of data

Our calculation cores: Module overview

Portfolio optimization/ robo advisory

Description / Example

Optimal portfolio construction and monitoring
Possible use: Interactive communication of the end user with a virtual consultant

Configuration / Functionality

Classic Markowitz or alternative risk measures, complex additional constraints: elimination of minor weights, limits (single, group and combined limits) and transaction limits; sensitivities; Key figures

Input / Required Data

Price data if neccessary, volatilities, returns, correlations, individual specifications

Key figure calculations

Description / Example

Calculation of various risk and return indicators
Possible use: portfolio reporting

Configuration / Functionality

Parameter estimation, comprehensive key figure universe, fast computing time

Input / Required Data

Price data, individual specifications

Tests for structural changes

Description / Example

Test for changes of relevant parameters
Possible use: Construction of risk overlays

Configuration / Functionality

Test for structural breaks in volatilities and correlations. Trading strategies were developed based on the test (see publications).
Available as a web service.

Input / Required Data

Price data, individual specifications

Benchmark creator

Description / Example

Search for an optimal benchmark
Possible use: Extension of time series or finding an optimal hedge transaction

Configuration / Functionality

Assets can be optimally approximated by a combination of benchmark indices.

Input / Required Data

Price data (assets and indices), individual specifications

Cluster analysis

Description / Example

Classification of assets in different groups
Possible use: Thinning of the investment universe for portfolio optimization

Configuration / Functionality

Assets are clustered in terms of yield, volatility, and correlation, and the most promising are selected for each cluster

Input / Required Data

volatilities, returns, correlations, individual specifications

1-asset-replacement

Description / Example

Exchange of exactly one asset
Possible use: Customer does not want to have a particular security in his portfolio anymore. Which can be offered for replacement?

Configuration / Functionality

Substitution algorithm that makes it possible to replace exactly one unwanted position in the portfolio optimally with another asset

Input / Required Data

volatilities, returns, correlations, institute-internal master list, individual specifications

Consideration of large minimum investments

Description / Example

Construction of portfolios with a maximum of 5 assets
Possible use: Construction of portfolios for retail customers

Configuration / Functionality

Algorithm for “testing” complex combination requirements. Very large minimum investments (e.g. 30%) can be processed sensibly and under consideration of constraints.

Input / Required Data

Price data, volatilities, returns, correlations, individual specifications

Risk Tool (Derivatives)

Description / Example

Risk estimation for portfolios (with and without derivatives)
Possible use: Compliance with the Derivatives Ordinance

Configuration / Functionality

Risk assessment of classic securities and derivatives (e.g. equities, bonds, various options, futures, convertible bonds) using Monte Carlo simulations (block bootstrap method).

Input / Required Data

Price data, master data, interest rates, currency rates, individual specifications

Scenario Calculator

Description / Example

scenario analyses
Possible use: stress tests or historical scenarios

Configuration / Functionality

Evaluation of individual scenarios

Input / Required Data

Price data, master data, interest rates, currency rates, individual specifications

VaR- and ES-Backtest

Description / Example

Verification of the quality of VaR and ES risk models
Possible use: Compliance with the Derivatives Ordinance (model evaluation)

Configuration / Functionality

Detailed assessment of the quality of risk models

Input / Required Data

Historical portfolio returns and risk estimates, individual specifications

Individual development

Description / Example

Possible use: any complex mathematical challenge in (financial) software

Configuration / Functionality

On customer request

Input / Required Data

The customer must ensure data supply and integration of the calculation core.

We would be pleased to provide you with a trial core free of charge. If you would like to use the calculation cores as a web service, require additional data supply or a complete software solution, we are also pleased to create a concept in cooperation with our cooperation partners.

 

Case Study Calculation cores

Calculation cores: DerivativeV

“We have been working with Quasol Calculation cores since 2011 and have already been able to solve various quantitative questions. Especially with the implementation of the DerivateV, it was a great advantage to be able to rely on Quasol’s financial know-how.”

Markus Dobler
Senior Consultant
PSplus Portfolio Software + Consulting GmbH

How can we assist you?

Are you facing a challenge in which we can help? Let's talk.
Contact us now

Additional products