Horizon Functionality

·    Easy and rapid access to a large, well researched, database of historical data pertaining to the long term derivatives market.
·    Comprehensive facilities for both graphical and tabular analysis.
·    A powerful function-based syntax which allows you to create complex expressions and save these for re-use at any time.
·    A user friendly graphical interface.

The central database is compiled from numerous sources, and wherever possible, 3 sources are taken for each data point.  These are validated using various analytical techniques.  Daily historical swap data, government bond data, bond futures data, interest rate futures data and cash data is stored, in multiple currencies. To see the range of data available click on Horizon database.  
The data may be considered in a variety of ways. For example, in analyzing futures rates and the strip rates implied by the futures, Horizon allows analysis of individual contracts or continuous contracts either in price format or implied yield format.

The following are typical of the applications performed by Horizon:

·    Analyze spreads that have existed over time between the interbank swap rates and the benchmark Government bonds that are supplied on Horizon or look at the spread between the futures strips and the shorter term swap rates and cash rates.

·    Moving Average of swap, bond and futures rates to assist in the identification of position taking opportunities as trends begin to develop.

·    Comprehensive analysis of forward interest rates specified either as FRAs or as forward swap rates.  These can be analyzed alongside the par interest rates or the implied futures yields.

·    Analysis of the volatility of all par rates, zero rates and forward rates for any trader involved in the interest rate options, bond options or futures options markets.

·    Yield curve analysis allowing the user to look at the shape of the par, zero and forward yield curves in either a smoothed or unsmoothed fashion and to compare the effects of smoothing on valuation of a portfolio. Using the unique animation option it is also possible to see the effects of changes in the various yield curves over time and help in the identification of appropriate forward curve position taking.

·    Statistical and correlation analysis of any series of interest rates for the purposes of hedge identification and monitoring the effectiveness of any selected hedge may be performed.

·    Not all the facilities are for front office alone, for example Horizon can produce tables showing daily historical spot and forward rate volatility, which are formatted so that they can be used as an independent mark-to-market volatility guide for back office verification. In the future versions, mark-to-market implied volatility tables will also be available for the term structure of volatility, for use as an independent verification of internally determined volatility measures. This feature will be particularly useful for back office managers and treasury controllers in the quest to determine accurate levels to use for cap, floor and swaption book valuations.

·    Zoom in and investigate a particular area in more detail, right down to a daily basis.

·    Use the ‘Curve Follow’ facility to obtain a precise readout of the graph values at any point.

·    Animate the graph, so that you can watch how it varies over a period of time.

·    Point and click to view the underlying yield curve at any point on the graph.

·    Add your own straight-line markers to highlight trends and limits of movement.

·    Superimpose other graphs, so that trends can be visually compared.

·    Plot functions of your original curve, such as Shifted curves, Moving averages, Volatility, and Compounding, or functions involving two curves, such as Spreads and Correlation.  You can even create your own user-defined expressions and save these for future use.

·    Format the graph titling, axes and line styles to your own liking.

·    Print your results in colour or black and white.

·    Copy the graph to other applications via the Windows clipboard.

·    Save it to disk for future reference.  This facility includes options to specify relative start and finish dates, so that the date range will be automatically updated when next loaded, and to define the default currency as neutral, which causes expressions referencing this currency to automatically substitute whatever currency is set as the default when the graph is next loaded.

·    Not only can you superimpose graphs; you can also have a number of active graphs on screen at a time, each in its own window.  The only practical limitation is your own computer’s hardware and display capability.

To see more of the Horizon functionality click the link to our on-line demonstrations of the basic functions.  If you are already a registered user click the link to view a full set of our on-line demonstrations. If you would like to register to be able to view the full set of demonstrations please go to the registration link.