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The Topaz Advanced Analytics module builds on the core trading and risk management capabilities to provide advanced risk analytics for derivatives and physical trading across multiple commodities. From Monte Carlo VaR to exotic option valuations to full stress testing capability, this module seamlessly adds more sophisticated features for options and structured traders, asset modellers and risk teams.
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  • Cross-commodity exotic options such as cargo spread options, backpricing options, barrier options, quantos, compos and many more
  • Storage modelling
  • Swing and spark spread options
  • Variance swaps
  • Parametric and Monte Carlo VaR
  • Stress testing by prices, vols, and time
  • Distributed framework for Monte Carlo and Longstaff-Schwarz methods
  • Variety of options models covered; new models continually being added

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  • Real-time mark-to-market valuation and P&L calculation, at any level across multiple portfolios with any combination of trade types
  • Wide range of options models available such as Black Scholes Merton, Bachelier, Reiner Rubenstein, Turnbull-Wakeman, Binomial / Trinomial Trees, Vorst, Curran, Crank-Nicholson and others
  • New models continually added
  • Valuation Explanation - our unique feature shows you exactly how we have calculated each valuation, so you can easily reconcile or troubleshoot
  • Full P&L Change Explanation, broken out by market data such as forward curves, fixings, vols, FX rates, and more, along with trade amendments

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  • Real-time exposure calculation at any level across multiple portfolios
  • All greeks and other analytics calculated in real-time at any level across multiple portfolios
  • Parametric and Monte Carlo VaR; distributed framework for fast calculation for large trade volumes
  • Price, volatility and time stress testing

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  • Flexible reporting, including full customisation of reports with multiple metrics and data broken out in multiple ways
  • Comprehensive drill down for more granular reporting
  • Every report can be charted and exported to Excel
  • All data is fully versioned and all reports can be run historically
  • Instantaneous close of book functionality for end of day reports
  • Provides consolidated view of risk across multiple commodities and regions

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  • Well designed OpenAPI and gRPC APIs (Application Programming Interface) for easy integration
  • Excel add-in trade blotter
  • Trade feeds via STP (CME and ICE)
  • Trade feeds from internal systems via the Topaz API
  • Market data uploads via Excel or from other systems via the Topaz API
  • Live reporting feed into Excel for real-time custom analysis