FRONT ARENA

Next generation cross-asset trading solutions

Maximizing Performance with Front Arena 4.2

New Release - Feature Highlights
The 4.2 release of Front Arena addresses the industry need for more calculations to be able to price more complicated instruments faster and to handle larger volumes of more complex trades. Front Arena 4.2 delivers enhanced performance through the use of a new unified calculation engine, scalability improvements, and better memory management. Memory management is greatly enhanced through four new features complementing each other to achieve maximum performance: grid computing, remote sheet calculations for large portfolios, the introduction of multi-threading and support for 64 bit compliance.

Enhanced calculation speed

Instead of performing calculations locally, with Front Arena 4.2 it is possible to distribute calculations to a cluster/grid. Our functionality connects to Platform Symphony, but also allows you access the API directly to connect to your own grid solution. Additionally the new remote sheet functionality enables portfolio data to be handled on the server side where calculations can be performed and subsequently distributed back to the client application in a report format greatly enhancing the calculation speed for large portfolios.

Leveraging the best of hardware

With Front Arena 4.2 the system becomes 64 bit compliant - thus leveraging the best of hardware. Servers and clients can now access more memory, improving performance by reducing latency in the server managing all business data (Arena Data Server), through a larger cache and improving the capacity for Front Arena to handle larger volumes of trades and instruments.

Additional new and enhanced features in Front Arena 4.2 include:

Access to Front Arena business logic in Excel The new Front Arena Excel plug-in provides access to Front Arena business and valuation logic in an Excel spread sheet. Access to the Arena business logic model forms an excellent base for building your own complimentary logic as well as providing an efficient and standardized way of importing business data to Excel. Better Position Analysis as Standard The new release includes a new enhanced risk functionality that supports cross-assets as well as providing more alternatives to span risk dimensions. Additionally there is also a new scenario functionality that provides cross-asset support and a powerful shifting engine. Leap forward in Operations functionality With the documentation module, customers can now customize their derivatives documentation to their exact needs and provide outputs in many formats. Complementing the investment we have made in FX, we can now offer continuous linked settlement to increase throughput and reduce credit exposures. Lastly, we have brought the workflow for settlements, confirmations and fixings into the trading manager giving the operations user the same access to Trades, Instruments and calculations as the Trader has whilst offering operations functionality with the same look and feel in the same application.

High volume support Front Arenas scalable architecture combined with the new FX trading and sales module supports your transaction processing needs providing a flexible solution that can handle existing and growing volumes. With the FX module Front Arena provides a trading platform that supports and integrates all your FX, MM and derivatives trading, whether traded in its own right, or for management of FX risk generated from capital markets trading, brokerage and order management. Super fast price re-quoting The enhanced quoting functionality gives market makers and traders an edge in extremely quick reactions to changing market conditions. A newserver-side quoting

component delivers highly competitive response times for re-quotes in the market ensuring a high position in the price queue as well as limiting the risk of arbitrage of your prices when sending high volumes of quotes to electronic exchanges. Rapid time to market for path dependent options The new User-defined Monte Carlo (UDMC) enables you to quickly implement valuation for completely new exotic instruments. You can define your own payoff patterns using the Payoff Expression Language (PEL) or use the built-in templates for products like autocallables and rainbow barrier options. The UDMC also work with performance improvement initiatives such as remote sheets and distributed calculations.

Overview of new and strengthened instrument support in Front Arena 4.2

Fixed Income, Interest Rate Derivatives and Credit Products
MBS deal capture and pricing Terms and conditions from Intex Deal capture and pricing of Zero-Coupon, Year-on-Year, Accreting and Revenue Inflation Swaps Deal capture and pricing of Zero-Coupon and Year-on-Year Inflation Swaptions Japanese Inflation Bonds Credit valuation of Inflation Bonds Valuating of Quanto IR swaptions Enhanced pricing of Total Return Swaps and Equity swaps including pricing for amortizing TRS Electronic trading of Credit Index Futures via Eurex platform Introduced Importance Sampling techniques for better accuracy in pricing basket credit derivatives Valuation of Credit Index swaptions, American and Bermudan Bespoke synthetic CDO valuation using adjusted or blended base correlations Black valued options on Loans Pricing of Loan Credit derivatives Nd ABS via Markit interface Improved workflow for cap and floor volatility surfaces. Pricing and Vega distribution can be based either on par or forward volatilities SABR stochastic volatility models for interest rate derivatives Support for normalized volatilities and normal Black model for pricing interest rate derivatives Proprietary programming of pay-offs (PEL = Payoff Expression Language) for interest rate derivatives valued with a Libor Market Model New Vega Matrix where volatility risk is displayed per strike, expiry and underlying maturity

Structured Equity Products

Support for Chooser, Lookback, Power and Range Accrual Options New finite difference solver supports option valuation using full yield curve term structure and Dupire local volatility surfaces New greeks for FX risk, correlation risk and dividend risk New Vega Matrix where volatility risk is displayed per strike and maturity

FX
Improved FX Spot, Outright and FX Swap capture (incorporating splitting) and risk management screens New Sales Margin capabilities across all FX products Non-deliverable Forwards Option Dated Forwards (Multi-Windowed Forwards) with drawdown capabilities Full position management workflows funding, PL management, etc. Vanilla, Barrier, Digital and Asian FX Options Option Lifecycle management features (barrier monitoring, expiry/exercise features)

For more information contact your account manager or email us at front.info@sungard.com.

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