Processing, valuation and risk management for OTC derivatives and listed securities
Map your banks' position files and PDF confirmations into deal terms. Value positions yourself, on your own market data, and verify the valuations you're sent. Measure sensitivities, scenarios and VaR, and send every result into your own systems or onto dashboards for your investment managers.
In use at banks, insurance companies, an investment house and hedge funds.
How the products fit together
We know of no other valuation vendor that works from both the position files and the confirmations your banks send, through to valuations, sensitivities and VaR.
The mappers are optional: you can also prepare positions from your own system in the standard format yourself. Each product is licensed on its own.
What clients use it for
Processing: less manual work, better data
- Stop re-keying OTC deals from PDF confirmations.
- Bring every bank's positions into one standard format.
- Complete the deal records in your own system from what your banks send.
Valuation: lower cost, independent numbers
- Cut the cost of bought valuations by running them yourself, on your own market data.
- Verify the valuations your banks send you.
Risk management: from sensitivities to regulatory capital
- Measure sensitivities, scenarios, stress and VaR daily, with reports ready to file.
- Calculate margin add-ons for clients' positions, and regulatory capital.
- Run ad-hoc analysis in Excel when a question can't wait for the daily run, or needs a calculation the preset runs don't include.
Portfolio management: a clear view for investment managers
- Give investment managers interactive dashboards of value and risk.
- See value and exposure by asset class, currency and instrument.
Every result can go straight into your own systems as JSON, through the API.
The products
Position data
Position Mapper
Turn your banks' OTC position files into valuation-ready deal terms.
Excel, CSV, TXT or XML, as each bank sends them. Codes, signs and conventions are interpreted, not just renamed. New banks are added at our cost, in one to two months.
Confirmation Mapper
Turn PDF confirmations into valuation-ready deal terms.
Collected from an inbox or a folder you choose. Amortization schedules, legs and derived terms included. Runs on your own machine.
Valuation & Risk
Gamma Impact API
Run valuation and risk automatically.
Valuation and risk as a web API or a folder-based tool, on your own server or hosted. Positions and market data in; values, sensitivities, scenarios and VaR out, as JSON for your own systems, PDF and Excel reports, and interactive dashboards, with a run log.
GIAnalyzer
Value, verify and measure risk in Excel.
The same instruments and models as the API, in Excel, plus functions the API doesn't use: 834 in all, each with a worked example. Independent valuation, model validation, sensitivities, scenarios and VaR, in the spreadsheets you already use.
Coverage
Bonds · FX derivatives · interest rate derivatives · inflation derivatives · equity derivatives · VaR and portfolio risk
Not covered today: credit and commodity derivatives. Need an instrument that isn't listed? Tell us.
Why Gamma Impact
Between the spreadsheet and the platform
A book of hundreds to a few thousand OTC positions is more than a spreadsheet should carry for good, and smaller than the scale enterprise systems are built and priced for.
| Approach | Built for | Not built for |
|---|---|---|
| Spreadsheets | Flexibility and quick change | A controlled, repeatable process at volume |
| Terminal pricing tools | Pricing one trade, at the point of trade | Valuing the whole book, every day, with a record |
| Valuation services | Independent prices, licensed for the firm | Your own market data; risk measures come at extra cost |
| Enterprise platforms | Running a bank's full front-to-back operation | A book of this size |
| Building in house | Complete control over models | Firms without a quant team to build and maintain it |
What Gamma Impact gives a book of this size
Sized to your book. Depth where a book this size needs it: custom amortization on each leg, cross-currency swaps in all four leg combinations, FX barriers and TARF. Priced for a book of that size, and each product is licensed on its own: you license only what you need.
Your market data, not ours. Bloomberg, LSEG, internal quotations, or a mix chosen curve by curve. Nothing is bundled with the calculation.
Every number can be reproduced. Every input and parameter comes back with the results. Every skipped position is reported with its reason, never priced on an assumption. Every function is documented publicly.
[10:52:19] Starting portfolio recalculation, 54 positions
[10:52:19] INPUT: MarketDataSource = LSEG, Interpolation = Linear
[10:52:22] ERR ImpliedVol: no volatility surface for USDZAR
[10:52:22] ERR LookupSpot: no spot rate for USD/PLN
[10:52:22] Completed: 45 valued, 9 skipped, results written
Excerpt from an API run log.
Your positions never have to leave your network. The API can run on your own server and the mappers on your own machine, with no connection to us; licensing works offline. If you'd rather not run it yourself, we host it.
Running in weeks, not quarters. A trial comes first, on your own data, set up with you in a first meeting: we run it for you, or you run it yourself, on your server or ours. Production is a deployment on your server or ours, not a project. If one of your banks isn't supported yet, we add it in one to two months.
In use today
Examples of what financial institutions produce with Gamma Impact software:
| Institution | What it produces |
|---|---|
| A bank | Greeks, VaR and regulatory capital adequacy on option positions |
| An insurance company | Scenario analysis, DV01 and duration across bond and swap portfolios, reported to the investment committee |
| A hedge fund | Valuation and risk across an OTC portfolio, with both mappers in production |
More examples, on the Company page →
Who built it
Gamma Impact's products were designed by Leon Sandler. He has independently validated the pricing and risk models of vendor trading, treasury and risk platforms at most of Israel's banks, and helped the Bank of Israel establish the model-risk function in its banking supervision division. He teaches derivatives and risk management at Reichman University and is co-author, with Prof. Zvi Wiener, of Financial Instruments and Risk Management (in Hebrew). Independent practice since 2006; Gamma Impact Ltd founded in 2009.
That background shapes the products: methodological choices are visible parameters, not hidden assumptions.
Start with your own data
- Book a live demonstration, in person or on Zoom.
- Send a sample of your positions or confirmations, under NDA.
- We map or value them and return the output and reports.
- You compare them with your current source.
Every function is documented openly. Browse the function reference →