Horizon Yield Curve & Data Analytics
Horizon is a powerful yield curve analytics tool being used by financial professionals worldwide in 18 financial centers in 14 different countries. Supported by the industry's most comprehensive database of historical interest-rate data (more than 60 currencies), the application provides time-dependant financial data in a graphical format that can be easily used and analysed in a variety of ways.

Designed for institutional traders, risk managers, corporate treasurers, auditors, hedge fund managers, and investment officers, Horizon saves valuable time, producing complex graphical output in a matter of seconds.

The two most significant strengths of Horizon are:

• Quality of Database - Many data items are collected from multiple sources and all data is filtered for accuracy. Database is constantly evolving with new categories and increased depth of history
• Ease and Speed - Complex analyses and expressions can be calculated and graphed in the time it takes to input your request (for example, forward prices in different currencies can be plotted with spreads, volatilities, or a range of moving averages)

Collected Data - Includes F/X Spot and Forward, Deposits, LIBOR, CDs, Official Gov't Rates, Swap Rates, OTR Bond Series, Calculated and Traded Swap Spreads, Commodities, Economic Indicators, Equity Indices and Constituents, Cash and Bond Futures, Swap Futures, Continuous Contracts, ATM Options Prices/Vols, Caps, Floors, and Swaptions

Value Added Data - Includes Spot Yield Curves, Forward Yield Curves, Decreasing Maturity Series,Zero Coupon Rates, F/X Forwards, Futures Strip Yields, Forward Yields, Convexity Bias, and Discount factors

Definition Dialogue

• Create and save powerful expressions to analyze the data
• Easily edit and change previously saved expressions
• Save pre-configured charts and recall them with the latest data
• Use any of the built-in data manipulation functions

Functions

• Correlation - Movement of the market and relationship between two rates; measurement of how well the best relationships fits a set of data with respect to Values, Returns, and Differences
• Compounding - Adjust compounding basis from one frequency to another
• Volatility - Standard deviation of differences, ratios, returns, Moving Average (ARIMA) and GARCH
• Mathematical functions - Addition, subtraction, multiplication and division, as well as Logarithm, Logarithm times by 10, Exponential, Absolute (differences, no matter if positive or negative), and Square Root
• Spread - Calculates the spread values for two given expressions; usually unadjusted, but adjusted if the spread becomes 0.
• Shift - Displaces results earlier or later along a time axis, enabling comparison of events where some form of time-lag effect is postulated.

Three methods of delivery:

Horizon Premium - For enhanced functionality and performance, DTS' fully functional version includes the complete data set that is installed on your server and updated via HTTP or modem on an overnight bassis as a local client/server configuration.

Horizon Lite - Designed for use away from the office environment or for a single trader installation, DTS' data is delivered on demand, over the Internet at your home or client site. You can choose to access the currency sets that you need, for a cost effective solution.

Open Horizon - An extension of the premium product using the same database and analytical capabilities of Horizon, this product outputs the raw data from the Horizon database into an Excel environment. This not only extends the functionality of the Horizon product but allows clients the ability to input DTS quality market data into another analysis environment. Open Horizon is ideal for any of the following:

• Data analysis in Excel environment using your own routines,
• Creation of variance/covariance tables to use with your own VAR analysis,
• Daily Mark to Market of portfolios,
• Portfolio stress and scenario testing,
• Provision of a secondary data source for data verification,
• Performing historical deal valuations.

Contact DTS

Contact your CAPIS salesperson at 800.247.6729 or 214.720.0055 or call DTS Head Office in London at +44 (0) 20 7689-6688

E-mail the DTS sales team at:
sales@derivs.com (London),
derivs@nyc.rr.com (New York),
derivs5@iprimus.com.au (Sydney)