FINCAD today launched of their new F3 3.0 release, which includes enhancements such as market correlation calibration for hybrid modelling and dual-curve stripping capabilities consistent with the cross-currency market, including cheapest-to-deliver curve construction. The new F3 hybrid modelling technology enables clients to use market observables to calibrate the incremental instantaneous correlation matrices. This new functionality offers more effective pricing, and the intuitive design offers an easy to use solution for all analytics users.

The new release F3 3.0 also provides:

• enhanced dual-curve stripping for OIS and Libor rates
• cheapest-to-deliver discounting for multi-currency CSAs taking into account meeting dates such as ECB, smoothing methodologies and turn pressure.
• more intuitive and rapid creation of cancellable swaps, convertible and callable bonds where observation dates can be based on roll dates and not explicitly defined.