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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



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Fast and intuitive valuation of derivatives with PwC's

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What are the key advantages of our tool?

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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.

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

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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

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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.

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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.

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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)

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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

  • 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

  • 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

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

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