How does Flametree differ from other attribution products?
Flametree's stand-out feature is that, although it requires very little data (basically, weights and returns for securities, and some security definition data) it generates detailed attribution reports that are as comprehensive as any system on the market. The total cost of ownership (TCO) makes deployment and use of Flametree a very cost-effective solution.
Do I have to change my existing performance measurement system to use Flametree?
No. Flametree uses existing sets of weights and returns data as a starting point for its calculations. As a result, Flametree can be used in conjunction with any performance measurement system that can export security-level weights and returns in CSV format.
Do returns from Flametree need to be reconciled with my back office returns?
No. Flametree assumes that the data provided as a starting point is correct and definitive. These returns are then decomposed by source of risk. Flametree includes extensive internal checks to ensure that aggregated attribution returns are always identical to the original returns.
What do I need to get started?
To generate an attribution report, all you need supply are files containing the local and base currency returns and allocation weights of the securities in your investment portfolios, and a subsidiary file describing the types and characteristics of each security held. A simple configuration file is used to describe the type of analysis and the reports required.
What types of attribution can Flametree perform?
Flametree calculates all types of attribution currently used by the marketplace – duration/non parallel yield curve shifts, shift/twist/curvature curve movements, key rate durations, credit shifts, coupon and yield effects, pull-to-par, roll-down, inflation, exchange rate returns, and others.
Can I mix yield curve types in the same analysis?
Yes. You may want to do this if, for example, you have some securities that are priced using a par curve, and others that use a zero curve. Flametree allows you to assign yield curves on a per-security basis, so it is straightforward to mix and match.
You can even change the yield curve a security uses over time, using Flametree's effective date functionality.
The Flametree API is a collection of function calls and related constants that allow the Flametree attribution engine to be called from within another program, rather than as a stand-alone application.
The API uses a data–driven interface (also known as a message-passing, or event-based API). Instead of using a large collection of method calls, the API depends on a much smaller number of calls and a data dictionary of arguments. The advantages of using a data-driven API for the Flametree engine are that
- it is simple to understand and use;
- it is future-proof, in that planned additions to the engine’s functionality in future releases will not break existing code that calls the library.