Monis XL: Advanced Analytics

Monis interacts daily with the world's leading issuers, dealers and funds to continuously drive up the sophistication and feature-richness of its models, whilst ensuring calculation speeds are kept low.  Wide-scale adoption of Monis analytics means that Monis calculated outputs are accepted as the global market standard, and often serve as the benchmark in negotiations between market participants.

Model Highlights:

  • Advanced Trees
    Choice of optimized 1-, 2- and 3-factor trinomial trees, with poisson process overlay for stochastic default as well as new tree-based equity resets model.
  • Variable Time Steps
    Time steps of variable length help enable more accurate valuation of contractual cash flows and dates, also takes account of closely sequential events in the actual sequence they occur.
  • Advanced Credit/Default Treatment
    Equity-linked credit spread model allows user to specify the spread as a function of stock price, thereby showing the effect of a stock price collapse on the bond floor, including term structure of credit spreads recovery rate.
  • Advanced Interest Rates Treatment
    Hull White, complete with calibration tools for IR volatility and mean reversion, as well as term structure of interest rates.
  • Structured Dividend Options
    Absolute with growth and proportional yield.
  • Other Features
    Term structure of equity volatility, transaction costs and dilution.

Model Outputs: 

  • Fair value
  • Implied volatility
  • Implied credit spread
  • Traditional Greeks: Delta, Gamma, Theta, Vega, Rho, Phi; available in both normalized and contract bases
  • Credit Greeks: Omicron (credit spread) and Upsilon (recovery rate); available in both normalized and contract bases
  • Chi (sensitivity to the FX rate for cross-currency bonds)
  • Parity and premium measures
  • Current accredeted value
  • Running yield and yield advantage
  • Yield to maturity, call and put
  • OAS, duration and convexity to next put date and to maturity
  • Call protection indicator
  • Break-even
  • Risk-neutral probabilities and fugit (expected life)
  • Transaction cost calculations