Saracen, the Optimum Pricing Tool, provides fast and flexible facilities to price an extensive range of financial instruments. The tool has been designed for traders, risk managers, corporate treasurers, auditors, fund managers, brokers, and investment officers from small institutions to large international banks.

Using the sophisticated yield curve construction, theoretical prices can be calculated for the range of OTC instruments, which includes FRAs, Spot Swaps, IMM Swaps, Swaps with irregular cash-flows, Swaptions, as well as Caps and Floors. The user can price single deals or mixed portfolios and display calculations of the net present value, fair value, premiums and Greeks. Liability matrices are also available as part of the default library of displays.

Without impacting flexibility or performance, particular attention has been paid to simplifying the process of pricing an instrument and displaying associated cash flows. The configurability of Saracen combined with the inherent power of Excel allows this pricing tool to stand up to complex requirements of the most sophisticated financial professionals. Demanding users have total flexibility to develop their own displays, but pre-designed displays enable immediate usage.

Modules (two versions currently available):

• Saracen Swaps for Interest Rate and Cross Currency Swaps, IMM and Spot Rolls calculates rates, values, and output cash flows while supplying models for all deal aspects, including irregular payments.
• Saracen Options for single and multiple deal Caps, Floors and Swaptions calculates premiums, implied volatilities, strikes and Greeks.

Analytics - Users can generate yield curves in any currency, using industry standard day-count conventions by using a range of different instruments including Cash, Swaps, Futures and FRAs.

Comprehensive - Yield curve rates can be imputed either manually or through a real-time feed. Calculated values are displayed for zero-coupon rates, discount factors, spot and forward curves.

Flexibility - Saracen will work with multiple spreadsheets and workbooks. These can be linked in order to extend the uses of the calculated values.

One-time Installation via Internet or CD.

Saracen is purchased in modules. Prices start at US$5,500 per user with support costs of $1,000 per annum.

Contact your CAPIS salesperson at 800.247.6729 or 214.720.0055 or call DTS in New York at (212) 595-5179 or 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)