Skip to content Skip to footer
Search

Loading Results

Derivatives Automated Valuation Engine

Web-based application for valuation of derivatives and bonds

Derivatives Automated Valuation Engine is a web-based application for valuation of financial instruments

FX derivatives
  • CIRS - Cross-currency Interest Rate Swap

  • FX Forward

  • FX Swap

  • European FX Option

Interest rate derivatives
  • IRS - Interest Rate Swap

  • FRA - Forward Rate Agreement

Bonds

 

Playback of this video is not currently available

3:15

Fast and intuitive valuation of derivatives with PwC's

Download product leaflet in PDF
Download leaflet

What are the key advantages of our tool?

DAMIL 123749 132 orange

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.

DAMIL 123752 132 orange

Do-It-Yourself

Derivatives Automated Valuation Engine allows you to price the derivatives regardless your level of quantitative proficiency or methodological knowledge

DAMIL 123762 132 orange

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

DAMIL 123757 132 orange

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.

DAMIL 123758 132 orange

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.

DAMIL 123750 132 orange

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)

DAMIL 123742 132 orange

PwC guarantee

21st century solution, powered by extensive experience of PwC team

Valuation process in 3 simple steps

Data import
  • Standardized input files with user-friendly guide

  • Pre-set (or customized by the user) values for multiple transaction parameters

Calculations
  • Quick and easy valuation

  • Multiple additional features such as scenario testing and sensitivity analysis (with a string of available parameters)

  • CVA/DVA calculations

Output analysis
  • 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

Speed and convenience boosted by technology

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

Users
  • Access through the web

Front-end
  • Application views

  • HTML CCS Angular

Back-end
  • Web server with app logic

  • Input files

  • Database

  • C# ASP.NET Web API

  • Excel

  • MS SQL Server

Contact us

Przemysław Paprotny

Przemysław Paprotny

Partner, PwC Poland

Tel: +48 502 184 766

Jan Domanik

Jan Domanik

Dyrektor, PwC Poland

Tel: +48 519 507 047

Follow us