Business Intelligence Internship – Summer 2016

As part of our continuing effort to foster excellence in our product offerings, we host a demanding, ongoing internship program for college students.  We’ve offered internships for more than a decade, but this season’s effort was different, as it focused on combining modern business intelligence tools with our own risk analytic platforms and APIs to develop financial dashboards and reporting tools for the investment community.

Financial Dashboards

Dashboards are becoming an industry must-have. Imagine’s customized dashboards provide clients with powerful financial analytics, business metrics, and current performance to measure and evaluate risk, all with a flat learning curve.  Dashboards seemed a natural focal point – and great opportunity – for our interns.

The interns received comprehensive training and mentoring at Imagine. Once their initial training ended, they began working side-by-side with both our Quantitative Analysts and Business Intelligence Analysts gaining insight and hands-on experience.

On the last day of their internship, they presented a company-wide demonstration of their dashboards. Each intern presented and demonstrated their contributions to the final project to us as if we were clients. They presented dashboards for the following investment strategy types:

  • Global Macro
  • Long Short Equity
  • Fixed Income
  • FX
  • Commodities

Slideshow of intern dashboards

Team Collaboration

Imagine works as a team, and we extended that core value to our interns. The end result was a group of interns who enjoyed both their interaction with each other and with others throughout the company.  The team experience offered them exposure to many different roles in the Business Intelligence process, which gave them a much more comprehensive understanding than they could have gained if on their own.

Here’s what the interns said they appreciated about our program:

  • Learning the basics in finance, JavaScript, and data visualization. They then took what they learned and developed dashboards they felt would provide value. Our Interns liked the level of freedom they had to define team roles, design visuals, and code dashboard behavior while still remaining a cohesive group.
  • Our Consulting Group guided the interns, providing them with the information they needed to understand the real world applications of the dashboards they created.
  • Our strategy experts provided them with the ability to better understand the rationale behind the projects they were working on.
  • The interns were mainly from technical or quantitative backgrounds that do not generally require presentation skills as part of their curricula. We wanted to give them the experience of giving a presentation to a company-wide group of professionals on a complex subject. In the end, they were proud to present tools that were actually meaningful, useful, and of tangible value.

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Schools and programs we’ve recruited from for our internships:

Our internship is offered all year, and if you’re interested in being considered for any of our sessions (Fall, Winter, Spring, Summer), email  Dwayne Fauvell.

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About the Author

Trever Evans has been with Imagine Software for eleven years and has been participating in scoping, development, and implementation of larger scale initiatives for Imagine. He holds an MS in Quantitative Financial Economics from Oklahoma State University. He is currently Director of Consulting for Imagine.

Contact Trever by email or phone: 646-827-4483.

Negative Interest Rates

Negative interest rates are a new and strange phenomenon. This concept causes a lot of head scratching, particularly regarding option valuation and VAR calculation, since the lognormal paradigm, applied for the last thirty years, breaks down.  In a lognormal world, the next period’s rate is calculated as this period’s rate multiplied by e (2.718…) raised to the sum of the drift (a certain number) plus the diffusion (volatility multiplied by a normal random number).

Lognormal Model: Rate Next Period = Rate Today * e Drift+Diffusion

No matter what the diffusion is, e is positive and therefore the rate next period cannot cross zero.  If this period’s rate is positive then the next period’s rate must be positive and vice-versa.

For example, consider the valuation of the right to lend to the US Government at 0% interest for the whole of 2018 (an interest rate floor).  Under a lognormal model, the loan rate cannot be negative and therefore the option has no value. If this were the case, you would always choose to let the option expire and lend to the US government at the prevailing rate rather than exercise the option. However, if you believe it is possible (no matter how unlikely) for rates to become negative then the option to lend the US Government at 0% is valuable, and your model must reflect this. Under the normal model, however, the next period’s rate is determined as this period’s rate plus a drift and diffusion coefficient.

Normal Model: Rate Next Period = Rate Today + Drift + Diffusion

This means that the rate can go negative and the above option would still have value.

Imagine Fair Valuation of the above T-Bill Floor under the normal and lognormal models.

tbill

A further point of interest is the volatility (the diffusion multiplier) between the two models is not equivalent. For example, suppose the rate in question is 1%, and we assume no drift, and an annualized volatility of 5% in a lognormal setting. This implies the two standard deviations range of rates with two standard deviations is approximately 0.91% and 1.1%.  However, in a normal model a volatility of 5% would imply this range to be approximately -9% to 11%. Clearly, it is very important to adjust the volatility between the two.

At Imagine, we let our users choose to value their options using a lognormal or normal model for both option valuation and VAR calculation. In addition, for our risk calculation, we handle the conversion and provide the lognormal equivalent volatility so the earlier-mentioned issues do not occur. Please contact Imagine if you would like to know more about how we can help.

An Industrial Strength Recon System

In the wake of the 2008 Financial Crisis, another layer of complexity in regulatory requirements has been added to the operational structure of investment management firms.  Market-shifting events like the Madoff Ponzi scheme and Lehman Brothers bankruptcy created a need for checks and balances to ensure reconciliations are done by an outside party to further protect investors. In the light of these developments, it has become increasingly important for managers to have access to trade and position level information at all times. Therefore, managers have been investing more time and effort into their operational processes and infrastructure around data and analytics as the demand for reporting and regulatory scrutiny has dramatically increased. In our view, a sound infrastructure armed with on-demand tools provides the best defense against regulatory breaches and operational failure.

The new Imagine Reconciliation System is a web-based solution that is made to fit perfectly into any operational infrastructure and is capable of addressing the entire reconciliation life cycle. With automated matching and exception processing, our reconciliation product lowers operational risk while at the same time reducing operational costs. As we have observed with many managers in the industry, manual reconciliation can take several hours a day while creating a higher risk of potential of errors. Our reconciliation system infrastructure sits on a complex backbone directly hooked up to your Imagine account, where your positions reside. Our system is on-demand, reliable, and can process thousands of trades within a matter of seconds while offering a simple, intuitive end-user experience.

Imagine Does the Heavy Lifting

Imagine consultants offer a no-impact implementation with a product that is scalable for any size business. By managing approximately 80% of the workflow, this product will reduce your team’s efforts significantly.

reconart_workflow

Our reconciliation product provides canned dashboards that are tailored to delivering immediate views and easy drill-downs of your important data providing you with operationally critical analytics.

With a super low-impact implementation, an on-demand, web-based product with a robust reconciliation engine might be what you need to make your operational infrastructure stronger. Imagine can make this easier to achieve than you might think.

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About the Author
Murat Sen is a Consultant in Imagine’s New York office working on consulting engagements and client-facing product management projects. A native of Istanbul, Turkey, Murat holds an MBA from Cornell University.

Murat can be contacted by email or phone: 646.827.4433

We Have a Stress Test App–Check It Out

The Stress Test App is the latest addition to the current collection of customizable apps available in the Imagine Marketplace. Similar to the other simulation tools in Imagine, the Stress Test App uses archived data to stress current portfolios and generate robust historical simulations that estimate how a portfolio would perform under documented periods of extreme risk volatility.

The Stress Test App provides value-added features on top of regular historical stress testing abilities: advanced control over your inputs coupled with the ability to analyze your output in great detail. The App:

  • creates output that clearly explains the variables used to calculate the theoretical values
  • offers greater user-control over the logic and defaults to generate simulations

Additionally, a companion dashboard provides at-a-glance simple views that clearly identifies a portfolio’s strengths and vulnerabilities under a pre-defined stress scenarios.

You Have Questions? We’ve Got Answers

A Q&A with Eric Pearl

Eric Pearl is the Director of Platform Marketplace and Consulting at Imagine. We sat down to ask him a few questions about the Excel Add-in.

Hey Eric, first, can you give some background on what Imagine Apps are?

An Imagine App is our name for a small JavaScript program that provides access to the rich universe of Imagine data and analytics. These Imagine Apps are made with standard JavaScript that access modules allowing you to access your positions, query current and historical data related to those positions, utilize Imagine’s curves, create analytic functions, run risk tools, and more. We do not run the JavaScript inside a browser – it runs in a process on our servers, and has API access to our business logic and persistent store. You can learn more about our JavaScript API here.

So is the Excel Add-in an App?

No, our add-in is built incorporating two separate pieces of technology; Imagine Apps and Imagine’s REST API.  Imagine’s REST web services provides a standard web service interface to Imagine Apps. And, remember, the apps are just JavaScript. You can learn more about Web Services here, and Imagine’s REST web service here.  Our web service uses the language-independent data format JSON for passing and returning data. So what happens is that our add-in does a translation of inputs to JSON for the REST call, and translates the JSON results back out to a cell (or range of cells).  The bottom line is this—the IFP Excel Add-in seamlessly integrates Imagine with Excel.

Can you give us an example of how it works?

Sure! Our add-in provides an Excel UDF (User Defined Functions) named IMAGINE() which can be used like other Excel functions like AVERAGE() or SUM(). Below is a screenshot showing how to use IMAGINE() in a formula to invoke an Imagine App named myApp. (We also demonstrate this in our demo located here).

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The IMAGINE() formula passes the user’s input (the contents of A1 and B1) to the function with the exported name getVolSurface in the Imagine App myApp. Naturally, inputs and outputs can include Excel cell ranges as well.

In addition to the IMAGINE() UDF, we also provide IMAGINE.VBA(), which is easier when you are writing macros or VBA. See our demo for an example of how this works.

Where can I get the App? What if I want to write my own App?

Want to write your own App? Great, more details on the process are included for you  here.  Rather have Imagine Consulting write the App for you? The Imagine Consulting team can do that—contact us at consulting@imagine-sw.com.

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About the Author
Eric Pearl has been developing risk and portfolio systems for over twenty years. In 2000, he helped launch the industry’s first and leading SaaS solution and in 2012, he launched Imagine’s Platform Marketplace.

Contact our consultants by email or phone: 212-317-7600

Case in Point: The IFP Excel Add-in

Efficiency

Our client, a large asset manager, found the uploading of numerous OTC trades throughout the day too time-consuming. Their front office had to switch focus from the business they knew to becoming technology experts, which forced them to place heavy demands on their support team. The front office staff were not seeing positions flow into their portfolios in a timely manner, which could leave them exposed and affect trading decisions.

The IFP Excel Add-in now allows the front office to quickly enter OTC trades into Imagine and focus on managing risk while also freeing up our client’s internal resources. Also, having the front office staff manage trade uploads, instead of their IT department, reduced the possibility for error since they are more versed with changing security types and markets—they understand the business.

Flat Learning Curve

Another service we provided for our client was to deliver a set of customized spreadsheets that replicated the tools and applications they have used in the past–tools they know inside and out. Our IFP Excel Add-in customization services dramatically reduced any downtime associated with learning a new application as well as the demand placed on their internal support teams when transitioning from one system to another. Now they had screens that mimicked what their screens have always looked like—which allowed for an almost seamless transition.

With all their Imagine information now viewable in Excel, our client could easily leverage Imagine’s data with Excel functionality for reporting, analyzing, and third-party reconciliation.

Targeted and Focused

We took the robust Imagine system and excised the market data and risk management information that they wanted to see in the form they already recognized. And now they are viewing and working with it in Excel—a powerful program that enables them to easily focus on their expertise, the business of trading.

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About the Author

James Andrecovich was integral in the testing and implementation of Bloomberg pricing and continues to advise on enhancements to Imagine Trading System for optimum client user experience.

James holds a Masters in Mathematical Finance from Rutgers University. Contact our consultants by email or phone: 212-317-7600

Imagine & Excel™ : Enhanced Power Without the Learning Curve

Should you use the IFP Excel Add-In?

You already know Imagine Software is the award-winning and leading provider of real-time portfolio management and risk and regulatory solutions for financial firms worldwide. And on nearly every desktop is the powerful Microsoft Excel—arguably the optimum application for data analysis with an unmatched ability to visually organize data in charts or graphs and easily view trends and patterns.
Now you can combine two powerhouses – Imagine and Excel – and the resulting possibilities are nearly endless.

  • Do you want to streamline your business processes and perform the same functions as I/O Services but with a simplified process and in one file?
  • Do you want to leverage your Excel expertise and easily import real time Imagine data, access data/price feeds, calculate Greeks and run risk/stress analysis?

What exactly does the Excel Add-in do?
The options range from simple standalone functions you can type into a cell – like a standard formula – to custom spreadsheets and apps developed for you by the Imagine consulting team that rely on IFP Apps, enabling you to easily:

  • download position or pricing information from Imagine
  • manipulate and/or graph derived data within a few moments
  • incorporate proprietary data and update Imagine with the click of a button

The IFP Excel Add-in is fast, powerful, and configurable. Use your current apps, apps available on the marketplace, or contact us to create a custom app or spreadsheet specific to your workflow process and needs. Watch our demo to get an idea of what’s possible with the Excel Add-in.

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About the Author

Brian DeLuca provides quantitative support, implementation of new clients, and has built numerous applications in JavaScript using Imagine’s IFP engine. Involved since the initial phases of IFP, Brian spearheaded training internally and externally for the Imagine Financial Platform. Brian also assisted in the development of the IFP Excel Add-In.

Brian holds a Masters in Quantitative Finance from Rutgers University. Brian can be contacted by email or phone: 646-827-4418