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About FINCAD Functions

Eagle provides built-in functionality for the valuation and calculation of trade level and security level analytics for fixed income and derivatives securities, under a licensing agreement to use the FINCAD® Analytics Suite within Eagle's existing rules-based architecture. You can enable FINCAD functions by using the Migration Wizard to import prebuilt calculations and parameter definitions for an initial set of functions.
The main features include:

  •  Pre-configured install to reduce time to benefit
  •  Rules-driven design to support fine tuning of analytics
  •  Eagle's clean reference data used to calculate all information
  •  FINCAD leveraged for calculations of new instruments
  •  Client control over which functions to use
  •  New functions enabled without software changes
  •  Excellence in data governance – all data stays within the Eagle application

Eagle Analytics uses rules based architecture with configurable, proprietary elements, such as calculation rules, calculations, functions, and input/output parameters. The following figure shows the component architecture at a high level.

The key elements within the Eagle Analytics architecture are listed below.

Calculations

Calculations are the metadata for an enabled FINCAD function. Calculations specify the FINCAD function, the input parameters expected by the function at start of execution, and the database table locations to store calculation outputs. You can selectively override output parameters to control how you store results in the PACE data warehouse. You can use the same calculation for more than one calculation rule.

Calculation Rules

The calculation rule defines the types of securities and entities to use with each associated calculation. The rule lists the calculations to invoke, including overrides to input parameters for default calculations. Rules are schedulable events. You can also submit a rule for processing on an ad hoc basis.

Functions

Functions reside in the FINCAD library of functions. There is a one-to-one relationship between a calculation and a FINCAD function. Each function uses a proprietary set of input and output parameters, configurable within the associated calculation rule.

Input Parameters

Input parameters define the data sent to the calculation. They are based on field attributes, codes, and code translations. You can customize the calculation to override input parameters, to suit sourcing requirements.

Output Parameters

Output parameters define the database locations used to commit the data generated from analytics calculations. You can customize the calculation rule to override outputs, to suit database update requirements.

Enable FINCAD Functions

You must enable FINCAD functions before you can use the function within the Reference Data Center for Eagle Analytics. You can enable a set of FINCAD functions by importing an initial migration package file (*.pkg) with the associated calculations and input/output parameter definitions. Importing the functions also imports a set of calculations that have the same name as the associated underlying FINCAD function. Once you enable the functions, you can manage calculations to suit changing business requirements.

About the Initial Migration Package

Most functions are not yet enabled for use by the Eagle rules engines. Eagle provides an initial migration package file that you can use to set up your first set of FINCAD functions and associated calculations, including many standard analytics calculations. You can request additional setups for other FINCAD functions by contacting Eagle's Global Professional Services and Instrument Engineering teams. Contact your Eagle Relationship Manager (RM) or Eagle Client Operations (COM) for more information.
 

Manage Eagle Analytics Functions

You can view and copy the imported FINCAD analytics functions. You can also view, edit, and delete any copied analytics functions.

View / Edit an Analytics Function

You can view and edit Eagle Analytics functions, including the calculation name, description, and the FINCAD analytics function used. You can override input arguments used with these calculations and output arguments assigned to calculation results. Eagle recommends that you do not apply changes directly to the original analytics functions and edit only copies of these functions, to preserve the integrity of the Eagle Analytics migration package.
To view and edit an analytics function:

  1. From the Setup workspace, click FINCAD Functions in the left navigation.
    You see the FINCAD Functions workspace with the list of available analytics functions.
  2. Scroll down to the analytics function you wish to view or edit.
  3. On the toolbar, click Edit.
    You see the Editing Function Definition dialog box.
  4. Review and edit the information you wish to change.
    Options include:
    –  Name
    –  Description
    –  Enabled check box
    –  Commit Source
    –  Source Rule
    –  Analytics Type, such as Security Level, Cash flow, or Trade Level
    –  Include Pricing Center Demand check box
    –  Fail Rule when 0 Securities Processed check box
  5. Click Next.
    You see the Editing Function Input dialog box.
    Options include:
    –  Security. This required option filters the securities to process.
    –  Entity Criteria. This option filters the entities to process by As Of Date and Entity ID.
  6. Review and edit the input information you wish to change and click Next.
    You see the Editing Function Output dialog box.
  7. Review and edit the output information you wish to change and click Save.

Duplicate an Analytics Function

NOTE: Eagle recommends that you change only copies of Eagle analytics functions, to preserve the integrity of the initial Eagle migration package.
To copy the imported analyticsfunction to a new filename:

  1. From the Setup workspace, click FINCAD Functions in the left navigation.
    You see the FINCAD Functions workspace with the list of available analytics functions.
  2. Scroll down to the analytics function you wish to duplicate.
  3. On the toolbar, click Duplicate.
    You see the Duplicate dialog box.
  4. Enter a new function name and click OK.
    You see a message that the analytics function has copied successfully.
  5. Click OK to return to the FINCAD Functions workspace.
    You see the refreshed list of available analytics functions.

Delete an Analytics Function

To delete an analytics function:

  1. From the Setup workspace, click FINCAD Functions in the left navigation.You see the FINCAD Functions workspace with the list of available analytics functions.
  2. Scroll down to the analytics function you wish to delete.
  3. On the toolbar, click Delete.
    You see a dialog box reconfirming that you want to delete this analytics function. If you selected an analytics function created by FINCAD, the Delete option is not available. You can only delete analytics functions that are not the original FINCAD imported functions.
  4. Click Yes to delete the analytics function, or click No to keep the analytics function. You see a message that the analytics function was deleted successfully.
  5. Click OK to return to the FINCAD Functions workspace.
    You see the refreshed list of available analytics functions.

Manage Calculation Parameters

You can manage the parameters used by Eagle analytics calculations. You can view/edit, create, duplicate, and delete calculation parameters. You can also view several other types of parameters, such as date, float, holiday list, integer, and statistics parameters in the Parameters workspace.

View / Edit a Calculation Parameter

You can view and edit several calculation attributes, including the calculation name, description, and the FINCAD function used. You can override input arguments used with calculations. Eagle recommends that you do not apply changes directly to the original calculation files. Use copied calculations to preserve the integrity of the initial Eagle Analytics migration package.
To view and edit a calculation parameter:

  1. From the Setup workspace, click Parameters in the left navigation.
    You see the Parameters workspace with the list of all available parameters.
  2. Scroll down to the calculation parameter you wish to view or edit.
  3. On the toolbar, click Edit.
    You see the Editing Calculation Parameter dialog box.
  4. Review and edit the information you wish to change and click Save.

Create a Calculation Parameter

To create a new calculation parameter:

  1. From the Setup workspace, click Parameters in the left navigation.
    You see the Parameters workspace with the list of all available parameters.
  2. On the toolbar, click Create New.
    You see the Creating New Calculation Parameter dialog box.
  3. In the ID text box, enter a unique identifier. If you leave this option blank, the system assigns a unique identifier.
  4. In the Name text box, enter a name for the calculation parameter.
  5. In the Description text box, optionally enter a description of the parameter.
  6. Click the Calculation drop down and select the calculation that uses this parameter.
  7. Click Save.

Duplicate a Calculation Parameter

To copy a calculation parameter to a new parameter name:

  1. From the Setup workspace, click Parameters in the left navigation.
    You see the Parameters workspace with the list of all available parameters.
  2. Scroll down to the calculation parameter you wish to duplicate.
  3. On the toolbar, click Duplicate.
    You see the Duplicate dialog box.
  4. In the ID text box, enter a unique identifier. If you leave this option blank, the system assigns a unique identifier.
  5. Enter a new parameter name and click OK.
    You see the refreshed list of available parameters.

Delete a Calculation Parameter

To delete a calculation parameter:

  1. From the Setup workspace, click Parameters in the left navigation.
    You see the Parameters workspace with the list of all available parameters.
  2. Scroll down to the calculation parameter you wish to delete.
  3. On the toolbar, click Delete.
    You see a dialog box reconfirming that you want to delete this parameter.
  4. Click Yes to delete the parameter, or click No to keep the parameter.
    You see the refreshed list of available parameters.

Manage Parameter Groups

You can manage the grouping of parameters used by Eagle analytics calculations. You can view/edit, create, duplicate, and delete a parameter group. Grouping allows you to simplify the maintenance effort to associate arguments and results to calculations.

View / Edit a Parameter Group

To view and edit a parameter group:

  1. From the Setup workspace, click Parameter Groups in the left navigation.
    You see the Parameter Groups workspace with the list of all available parameter groups.
  2. Scroll down to the parameter group you wish to view or edit.
  3. On the toolbar, click Edit.
    You see the Editing Parameter Group dialog box.
  4. Review and edit the information you wish to change and click Save.

Create a Parameter Group

To create a new calculation parameter group:

  1. From the Setup workspace, click Parameter Groups in the left navigation.
    You see the Parameter Groups workspace with the list of all available parameter groups.
  2. On the toolbar, click Create New.
    You see the Creating New Parameter Group dialog box.
  3. In the ID text box, enter a unique identifier. If you leave this option blank, the system assigns a unique identifier.
  4. In the Name text box, enter a name for the calculation parameter group.
  5. In the Description text box, optionally enter a description of the parameter.
  6. Set the Type as Input or Output, as required.
  7. Click the Regular drop down and select the parameter format as Regular or Array.
  8. Click the Parameter drop down.
    You see the Select Parameters dialog box.
  9. Select the parameters that define this group and click OK.
    You see the parameters displayed in the bottom pane.
  10. Click Save.

Duplicate a Parameter Group

To copy a calculation parameter group to a new group name:

  1. From the Setup workspace, click Parameter Groups in the left navigation.
    You see the Parameters Groups workspace with the list of all available parameters.
  2. Scroll down to the calculation parameter group you wish to duplicate.
  3. On the toolbar, click Duplicate.
    You see the Duplicate dialog box.
  4. In the ID text box, enter a unique identifier. If you leave this option blank, the system assigns a unique identifier.
  5. Enter a new group name and click OK.
    You see the refreshed list of available parameter groups.

Delete a Parameter Group

To delete a calculation parameter group:

  1. From the Setup workspace, click Parameter Groups in the left navigation.
    You see the Parameter Groups workspace with the list of all available parameter groups.
  2. Scroll down to the calculation parameter group you wish to delete.
  3. On the toolbar, click Delete.
    You see a dialog box reconfirming that you want to delete this group.
  4. Click Yes to delete the parameter group, or click No to keep the group.
    You see the refreshed list of available parameter groups.

Manage Calculations

You can manage the Eagle Analytics calculations used by the standard FINCAD functions for option-adjusted spread, duration, and convexity analytics, as well as the functions for duration, mod duration, convexity, mod convexity, and basis point value computations. You can view/edit, create, duplicate, and delete calculations.
NOTE: Calculations are initialized with imported Eagle package files and conventionally use the same naming convention as the underlying FINCAD function. The best practice is to duplicate an imported calculation and then apply any customizations to the copied calculation.

View / Edit a Calculation

You can view and edit several calculation attributes, including the calculation name, description, and the FINCAD function used. You can override input arguments used with calculations. Eagle recommends that you do not apply changes directly to the original calculation files. Use copied calculations to preserve the integrity of the initial Eagle Analytics migration package.
To view and edit a calculation:

  1.  From the Setup workspace, click Calculations in the left navigation.You see the Calculations workspace with the list of all available calculations.
  2.  Scroll down to the calculation you wish to view or edit.
  3.  On the toolbar, click Edit.You see the Editing Calculation dialog box.
  4.  Review and edit the information you wish to change and click Save.

Create a Calculation

To create a new calculation:

  1. From the Setup workspace, click Calculations in the left navigation.
    You see the Calculations workspace with the list of all available calculations.
  2. On the toolbar, click Create New.
    You see the Creating New Calculation dialog box.
  3. In the ID text box, enter a unique identifier. If you leave this option blank, the system assigns a unique identifier.
  4. In the Name text box, enter a name for the calculation.
  5. In the Description text box, optionally enter a description of the calculation.
  6. Set Expose To External Process and click the Identifier drop down and select the identified option, as required.
  7. Enter the Input options for name, description, type, sub type, and value, as required.
  8. Enter the Output options for name, description, database, table, and field, as required.
  9. Click Save.
    You see the refreshed list of calculations.

Duplicate a Calculation

NOTE: Eagle recommends that you use calculation copies to preserve the integrity of the initial Eagle Analytics migration package.
To copy the imported calculation to a new filename:

  1. From the Setup workspace, click Calculations in the left navigation.
    You see the Calculations workspace with the list of all available calculations.
  2. Scroll down to the calculation you wish to duplicate.
  3. On the toolbar, click Duplicate.
    You see the Duplicate dialog box.
  4. Enter a new calculation name and click OK.
    You see a message that the calculation has copied successfully.
  5. Click OK to return to the Calculations workspace.
    You see the refreshed list of calculations.

Delete a Calculation

To delete a calculation:

  1. From the Setup workspace, click Calculations in the left navigation.
    You see the Calculations workspace with the list of all available calculations.
  2. Scroll down to the calculation you wish to delete.
  3. On the toolbar, click Delete.
    You see a dialog box reconfirming that you want to delete this calculation.
  4. Click Yes to delete the calculation, or click No to keep the calculation.
    You see a message that the calculation was deleted successfully.
  5. Click OK to return to the Calculations workspace.
    You see the refreshed list of available calculations.

Calculation Examples

Several industry standard calculations are available, including:

  •  Price from yield
  •  Yield from price
  •  Price from yield curve
  •  Fair value and yield for floating rate note (FRN) bonds
  •  Price, yield, and analytics for callable bonds

 

Manage Calculation Rules

You can manage the Eagle Analytics calculation rules for analytics functions. You can view/edit, create, duplicate, and delete rules.

View / Edit a Calculation Rule

You can view and edit several calculation rule attributes, including the calculation name, description, the securities affected, and the calculation formula.
To view and edit a calculation rule:

  1. From the Setup workspace, click Rules in the left navigation.
    You see the Rules workspace with the list of all available calculation rules.
  2. Scroll down to the rule you wish to view or edit.
  3. On the toolbar, click Edit.
    You see the Editing Rule Definition dialog box.
  4. Review and edit the information you wish to change and click Next.
    You see the Editing Rule Securities dialog box.
  5. Review and edit the securities filter information you wish to change and click Next.
    You see the Editing Rule Calculations dialog box with the names and descriptions on the input and output arguments.
  6. Review and edit the argument information you wish to change. Options include:
    –  Calculation. This option selects the calculation used by this rule. When you change this selection, the remaining options are pre-filled with the inputs and outputs defined for the calculation.
    –  Input. This option specifies the argument IDs of the input arguments expected by the calculation.
    –  Output. This option specifies the database fields that store the calculation results.
  7. Click Save, or click Back to view the previous dialog box.
    You see the refreshed list of available rules.

Create a Calculation Rule

To create a new calculation rule:

  1. From the Setup workspace, click Rules in the left navigation.
    You see the Rules workspace with the list of available calculation rules.
  2. On the toolbar, click Create New.
    You see the Creating New Rule dialog box.
  3. In the ID text box, enter a unique identifier. If you leave this option blank, the system assigns a unique identifier.
  4. In the Name text box, enter a name for the calculation.
  5. In the Description text box, optionally enter a description of the calculation.
  6. Set Enabled to allow the use of this rule by the system. Or, clear the check box to block use of this rule.
  7. Set the Analytics Type check box.
    You can choose Security Level, Cash Flow, or Trade Level types of analytics.
  8. Set the Include Pricing Center Demand check box, if required.
  9. Set the Fail Rule when 0 Securities Processed check box, if required.
  10. Click Next.You see the Editing Rule Securities dialog box.
  11. Specify the securities filter information you wish to use for the rule. Options include:
    –  Security. This is a required option that filters the securities to process.
    –  Entity Criteria. This option filters the entities to process by As Of Date and Entity ID.
  12. Click Next.
    You see the Editing Rule Calculations dialog box with the names and descriptions on the input and output arguments.
  13. Specify the calculations you wish to use for the rule. Options include:
    –  Calculation. This option selects the calculations used by this rule. When you change this selection, the remaining options are pre-filled with the inputs and outputs defined for the calculation.
    –  Input. This option specifies the argument IDs of the input arguments expected by the calculation.
    –  Output. This option specifies the database fields that store the calculation results.
  14. Click Save, or click Back to view the previous dialog box.
    You see the refreshed list of available rules.

Duplicate a Calculation Rule

NOTE: Eagle recommends that you use calculation copies to preserve the integrity of the initial Eagle Analytics migration package.
To copy the calculation rule to a new filename:

  1. From the Setup workspace, click Calculations in the left navigation.You see the Calculations workspace with the list of all available calculation rules.
  2. Scroll down to the calculation rule you wish to duplicate.
  3. On the toolbar, click Duplicate.
    You see the Duplicate dialog box.
  4. Enter a new rule name and click OK.
    You see the refreshed list of available rules.

Delete a Calculation Rule

To delete a calculation rule:

  1. From the Setup workspace, click Calculations in the left navigation.
    You see the Calculations workspace with the list of all available calculation rules.
  2. Scroll down to the calculation rule you wish to delete.
  3. On the toolbar, click Delete.
    You see a dialog box reconfirming that you want to delete this calculation rule.
  4. Click Yes to delete the calculation rule, or click No to keep the rule.
    You see the refreshed list of available rules.











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