LPACalc is a tool for structuring and analyzing financial instruments and individual customer solutions.
A highly-developed risk management software with implemented valuation models LPACalc is perfectly suited for use in banks, savings banks, insurances and other financial services – ideally in the areas of product structuring (product management), treasury, trading, risk management and risk controlling. As a risk management software LPACalc makes the risk management of banks and financial services more efficient and secure.
Thanks to its underlying valuation models LPACalc enables the automatic valuation and analysis of a whole portfolio. There is a wide variety of valuation models to choose from. LPACalc supports you in determining economic and regulatory equity in compliance with Basel II and III for both individual transactions and at the portfolio level. Furthermore, it includes the calculation of CVA, DVA and accounts for collateral agreements.
LPACalc enables you to observe many asset classes. For this the following valuation models are available to you:
- Interest: Black / linear rate model, replication models, Markov functional model, general Libor market model with various add-ons around volatility smiles
- FX and commodities: Heston, Schöbel-Zhu, Black-Scholes, combined local and stochastish volatility models
- Equity: Black-Scholes, Heston, Schöbel-Zhu
- Inflation models: Forward CPI model, hybrid inflation/interest model
LPACalc may be run using market data provided by LPA via a Citrix installation. Or you can install it on your own systems with a choice of sourcing market data from LPA, Bloomberg or from Thomson Reuters. In this way, your company and thus also your customers always have access to valuation models with the most current data.