Derivation Software

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Derivation provides market-leading integrated accounting, trading and risk management hedge fund solutions.

Derivation is a complete front-to-back system, providing powerful solutions for all aspects of portfolio management, risk management and accounting.  This offers the opportunity to deliver an integrated software solution covering a range of user requirements with one single package, reducing your IT spend and simplifying middle and back office procedures.

Key Features

Portfolio Management

  • Live and historic P&L: Derivation worksheets may display multi period real-time and historic P&L figures, supporting three accounting methods side-by-side
  • Intuitive user interface: similar in concept to spread sheet applications, Derivation's worksheets are simple to navigate and highly configurable, with access to Derivation's extensive library of pre-defined columns, as well as a rich formula language to build bespoke columns
  • Trade booking and history: Derivation contains a fast trade booking system with a full trade history stored.  Trade insertions, amendments and cancellations may be imported or exported via CSV, or using Derivation's two-way FIX engine
  • Comprehensive asset class coverage: Derivation has the ability to model, calculate and process a wide variety of instruments

Risk Management

  • Cross markets and assets: managing risk across equities, fixed income, credit, interest rates, commodities and convertibles
  • Real-time calculation of Greeks: reacting to live market data
  • Risk bucketing by any factor, e.g. time, currency, Greeks; aggregated at any level
  • Risk limits: set and monitor exposure limits to each Greek
  • Scenario analysis: user-defined portfolio stressing of prices, FX, individual yield and credit curve points, volatility, time and risk factors; enables users to create simulations of imagined/historic scenarios
  • Historic VaR: customizable confidence levels and time horizons, calculated across multiple asset classes


  • Load trades manually, from file or via FIX: Enter trades into Derivation through a simple interface, from file via a flexible loader, or direct from a trading platform via the Derivation FIX engine
  • Full trade lifecycle and audit
  • Automated calculation of commission and tax charges
  • Restrict permissions: define which users may confirm, modify or cancel trades in Derivation
  • Automated trade export: Derivation may be scheduled to export trades as CSV/XML from fully customizable worksheets to multiple parties
  • Options trading tools: create hypothetical options trading strategies, test and execute new positions

Accounting and Financing

  • Multiple accounting methods: Average Cost, Administrator and FIFO accounting methods supported side-by-side
  • Flexible cash management: cash ladders, multi-currency support, cash adjustments, automated scheduled payments
  • Corporate actions: automated cash posting, diary and transactions worksheets
  • Financing: estimates the effects on P&L of the cost of borrowing
  • Share class accounting: manage investor groups with exposure to different risks
  • P&L attribution to Greeks: analyse P&L by sensitivity

Prime Broker Interfaces

  • Automatically reconcile position data from a broker: Derivation will automatically load daily data files from a prime broker and reconcile against positions in Derivation.  Derivation's user-friendly reconciliation view includes custom colour highlighting of matched values, breaks and unmatched rows.  Custom formulae allow automatic manipulation of Derivation/external file data prior to matching for maximum flexibility
  • Real-time connections to trading platforms: The Derivation FIX engine supports two-way FIX messaging, allowing an automated, seamless and direct link to other systems
  • Automated Prime Broker exports: Derivation may be scheduled to export data as CSV from fully customizable worksheets to send to prime brokers
  • Export trades to multiple brokers: Derivation supports the export of trade insertions, amendments and cancellations via CSV/XML to multiple separate parties, maintaining separate statuses side by side for each party

Convertible Bonds

  • Full featured convertible bonds model: Derivation's mature convertibles model is continually enhanced to support instrument and terms changes in the market
  • Market making: Desk developed trader tools, including extensive dollar nuking functionality, with counterparty quote recording and matching
  • Risk management: live risk sensitivities, calculating the Greeks, coupled with risk simulation to stress test portfolios and funds alike
  • Live P&L: Real-time P&L viewable by any period, using a complete range of price sources
  • Data sources: convertible bond terms data may be loaded from Bloomberg or MACE

Fund Performance

  • Valuable fund performance measures calculated: including time-weighted rate of return, Alpha, Beta and Sharpe Ratio
  • Aggregate and view fund performance at any level against a benchmark
  • Predefined worksheets included for reporting performance against a benchmark
  • Graphical reports of fund performance: predefined worksheets have been designed to be plotted as specific chart types in Derivation's Report Designer


  • Report Designer: Create a library of report templates to generate regular reports using up-to-date Derivation data.  Display tabular data alongside multiple chart types (including scatter, stacked, column, bar and pie charts) in reports
  • Charting Tool: Create charts of historic instrument data, fund performance data and worksheet data.  Charts may be saved, customized and chart data edited and exported to Excel

Data Management

  • Bloomberg server API versions 2.0 and 3.0, Server API Lite and managed B-Pipe: accessible depending on user subscriptions
  • MACE: load convertible bond terms data from MACE Advisors
  • CMA: load credit data into Derivation depending on user subscriptions
  • Load trades and OTC instrument terms from CSV file
  • Bloomberg Convertible Bond House Price Publisher: automates publishing of house prices to Bloomberg
  • FIX messaging: integrated with Fidessa, Bloomberg TOMS, Bloomberg EMSX, TORA and Eze Castle RealTick

Auditing and Security

  • Audit trails: record changes to instrument terms data, static data and worksheets, as well as log-in attempts for audit purposes
  • User access and permissions: control which users can view, edit and perform functions within Derivation
  • Active Directory: manage access to Derivation using Windows Active Directory authentication

Key Benefits


  • Our support team comprises highly trained, highly qualified individuals, each with many years experience and dedicated to offering personal and on-site support where necessary
  • Near 24hr support coverage is provided across Asia, EMEA and North America
  • Support staff can work remotely to identify issues first hand from anywhere in the world for the fastest resolution possible
  • Individual on-site training is provided for new customers as well as for any new functionality released by Derivation
  • On-site installation, with a dedicated member of the support team on hand throughout the installation process
  • Comprehensive online user guide

Consultative Development

  • A consultative approach led by our account management and sales team
  • Sales process allows clients to raise any queries and for us to have lengthy in-depth discussions about existing functionality, requirements and future plans
  • Quarterly development cycle ensuring fast assimilation of any requests into the program where time is of the essence
  • Development campus based in Oxford ensuring a dynamic, young and high performing demographic and attracting the highest calibre mathematicians and developers


  • Scalable to accommodate from one desk start-up hedge funds to the world's largest banks.  As client's business grows so Derivation may evolve with them
  • Local install or hosted solution available: Run on your in-house servers or connect to our secure servers via the internet to reduce your IT expenditure and outsource support

Product/Service details

Geographic Availability
Africa, Asia-Pacific, Europe, Middle East, North America, South America
Asset Class Coverage
Bonds, Commodities & Energy, Equities, Exchange Traded Derivatives, Foreign Exchange (FX), Money Markets