Chorus


Chorus was a complete system for the pricing and management of derivative portfolios. Chorus allowed users to build custom pricing models, based on a series of standard models - such as those from Black, Whaley, Cox & Rubenstein - and then modify these as market conditions prevail.

Chorus could interact with the Alice market data toolkit, or with other similar market data systems, and could display options, along with their derivative constants, delta, gamma and theta. It allowed users to model and price options in real time and was particularly suited to people writing OTC or exotic options.

As well as simply pricing option packages. Chorus allowed simple portfolio management and analysis in real time. Traders could build and maintain portfolios and analyze risk across the whole package. Administrators could manage risk by trader, security, or the whole trading group as one. Because of its truly object-oriented nature, Chorus allowed you to manage the portfolio in real lime, even though many of its constituent instruments could be one-off custom options for a particular deal.

Chorus could be extended via its own toolkit to support option types or customized models at a later date. Xexos could provide source code to all the relevant modeling sections. Xexos also sold their option model objects as standalone tools in their own right if customers wanted to build their own risk and pricing systems but avoid the work of building more standard pricing objects.

Xexos Ltd.