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kACE
     
In addition to our unique modelling environment that allows bespoke in-house design and implementation of calculation models, Kalahari offers a number of ready-to-use pricing solutions.   These modelling solutions are powered by the company's flagship product, kACE, a robust, scalable and easy-to-use calculation platform.

With over 1200 calculations embedded in the system from the best maths library experts in the industry: FinancialCad, along with Kalahari's own libraries, kACE is capable of pricing the most complex financial instruments currently traded within the financial and energy markets.

In addition to the default library of mathematics, external mathematics libraries and those in Excel spreadsheets can also be pulled into the system for use as the underlying analytics. Mathematical libraries available in kACE, which are displayed in pre-built pages, include coverage of:

FX Forwards
Pricing from Deposit, OIS and 3mth Futures curves, medium term from IRS markets.

OIS Pricing
OIS pricing for all Currencies, all periods.  USD priced using Fed Funds and AUD from IB futures contracts. OIS  may be implied through FX forwards for less developed markets. Users may choose Mid or weighted Mid of underlying futures markets for pricing.  Includes:

- Methodologies to estimate/predict expectation of movements in market of hikes and cuts
- Entry of specific dates and meeting to meeting dates  
- Choice of Mid or weighted Mid of underlying futures markets for use in pricing
- Full control over near end of the yield curve allows user to toggle between implying spread to 3mth curve or input the spread to imply OIS

One month IRS and FRA Pricing
1mth pricing from spread to regular 3mth curves, or as a spread to underlying OIS curve, utilising OIS curve expectations and entering 1mth specific turns to the curve.

FRA Pricing
FRA pricing from regular curves, and as a spread to underlying OIS curve.

IRS Pricing
Regular calendar dates (vanilla), structured cash-flows and broken dates.

FX Cash Arbitrage for MM and OIS Markets
Utilising either external live data sources or internal pricing within kACE for pricing regular calendar dates and broken dates to imply Interest Rates and FX forwards.

FX FRA Arbitrage for OIS and FRA Markets
Utilising either external live data sources or internal pricing within kACE for pricing regular calendar dates and broken dates to imply Interest Rates and FX forwards.

Medium and Short-Term Basis Swap Pricing
Calculation of Basis Swaps through FX forwards and IRS to derive Basis and from Basis and IRS's to derive FX forwards.

Interest Rate Options
Kalahari's model provides the ability to price ATM, in the money, out of the money, swaptions, amortising caps and floors in over 25 currencies, including US Dollar, Euro, GBP, Japanese Yen, Korean Won, Taiwanese Dollar, Chinese Renminbi, Hong Kong Dollar, Singapore Dollar, Thai Baht, Malaysian Ringgit, Indian Rupee and Indonesian Rupiah.  You can also use a true 'smile' in volatility grids.

Asset Swaps
A high-volume asset swap portfolio pricing system enabling users to simultaneously calculate up to 200 asset swaps in real time.  Users can price up to 200 bonds and asset swaps simultaneously.  Each bond priced can also be spread against a benchmark government bond of the user's choice.

Fixed Income Market Making
Used to make markets for a set of deliverable and non-deliverable bonds. It hooks into a bond database and allows bonds to be queried by ISIN numbers. For deliverable bonds, the cheapest to deliver bond is identified. As bond futures move, the deliverable bonds prices are delta shifted to produce a realistic price curve. Non-deliverable bonds are configured in relationships relative to the bond future buckets. Validation and deviation checks are carried out against other reference sources and markets to reduce the risk of quoting incorrect prices.

Emerging Markets
Kalahari has developed a Mexican Pesco TIIE calculator that uses data from the forward FX swap market, TIIEs, US Dollar IRS curves, and Mexican basis points.  We have also recently developed a South African Rand (ZAR) pricing model that calculates IRSs, FX forward curves and basis, as well as a model for calculating Korean Won FRAs from NDFs. Both these currencies are now offered as part of Kalahari's Emerging Market suite within their MM & FX model.  

Indices
Real-time index calculation for fixed income and equities.

Data Publishing
kACE DataPort provides financial institutions with an efficient and cost-effective solution to synchronise and publish improved quality, real-time data to their own customers via numerous platforms, including RMDS and MTRS.