Derivatives Automated Valuation Engine is a web-based application for valuation of financial instruments
CIRS - Cross-currency Interest Rate Swap
FX Forward
FX Swap
European FX Option
IRS - Interest Rate Swap
FRA - Forward Rate Agreement
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Valuation of the most common derivatives & bonds
Derivatives Automated Valuation Engine will resolve your challenges associated with performing valuation of the derivatives & bonds, but will also help you understand where the numbers are coming from.
Do-It-Yourself
Derivatives Automated Valuation Engine allows you to price the derivatives regardless your level of quantitative proficiency or methodological knowledge
CVA/DVA and scenario calculations
Our tool allows you to value derivatives, calculate advanced risk parameters such as CVA/DVA or perform scenarios of valuation under multiple interest rate and currency movements
High speed valuation
Large volume calculation is not a challenge. You upload thousands of deals and get the valuation results within seconds. The process is easy and efficient.
Reduced operational risk
Commonly used pricing models are embedded into the best in class infrastructure. You do not need multiple spreadsheets, files or formats. Input data, algorithms, output results - now all in one place. Administration layer supports management of the access rights per user.
Solid track record
The tool was successfully deployed in 16 geographies across CEE/CIS and tested by PwC teams (incl. Czech Republic, Hungary, Baltics, Poland and Russia)
PwC guarantee
21st century solution, powered by extensive experience of PwC team
Standardized input files with user-friendly guide
Pre-set (or customized by the user) values for multiple transaction parameters
Quick and easy valuation
Multiple additional features such as scenario testing and sensitivity analysis (with a string of available parameters)
CVA/DVA calculations
One click download
Drill-down of results
Multiple scenario download, with user-friendly “compare” functionality
CVA/DVA results in a transparent tabular form
Calculation output stored in a database form
Derivatives Automated Valuation Engine results comprehensive analytics (vs. bank's or counterparty's valuations)
Support in the process - Data import, calculation and interpretation of results is supported by a team of quantitative finance professionals and consultants*
*The exact scope of support and preferable helpdesk working mode is defined in the terms of cooperation
Derivatives Automated Valuation Engine has a classical three-layer architecture and is based on the most up to date technologies boosting the speed and user experience
Access through the web
Application views
HTML CCS Angular
Web server with app logic
Input files
Database
C# ASP.NET Web API
Excel
MS SQL Server