Roadmap
This page outlines planned features for Vade, organized by product area. Items are prioritized but timelines are not committed -- development order may shift based on user demand and technical dependencies. For documentation on currently available features, see the main index.
Status Legend
- Planned -- Designed and scoped; implementation not yet started
- In Development -- Actively being built
- Future -- On the long-term radar; scope may evolve
Rates
Swaptions
Status: Planned
European and Bermudan swaption pricing with Black-76 and Bachelier models, building on Vade's existing interest rate swap and volatility infrastructure.
Scope
- Swaption construction from underlying swap specifications (tenor, frequency, fixed rate)
- Implied volatility surface support (expiry x tenor)
- Exercise boundary determination for Bermudan swaptions
Use Cases
- Rates volatility trading desks pricing swaption books against calibrated vol surfaces
- Hedging callable bond optionality by decomposing into swaption exposures
Expected Capabilities
- Swaption NPV for payer and receiver styles
- Delta and gamma via automatic differentiation
- Vol surface interpolation across expiry and tenor dimensions
- Cash-settled and physical settlement support
Structured Rate Notes
Status: Future
Structured notes with embedded interest rate optionality, including range accruals, inverse floaters, and snowball coupons.
Scope
- Note construction from coupon schedules with embedded option logic
- Path-dependent coupon accrual rules (range accrual barriers, inverse floater caps/floors)
- Snowball and ratchet coupon mechanics
Use Cases
- Structuring desks creating bespoke rate-linked notes for institutional investors
- Buy-side portfolio managers analyzing structured note holdings and their embedded risks
Expected Capabilities
- Structured note pricing under given rate and vol assumptions
- Coupon scenario analysis across rate paths
- Sensitivity to rate curve and volatility surface inputs
Credit
Credit Linked Notes
Status: Future
Notes whose redemption is contingent on credit events of a reference entity or basket, combining funded note economics with credit derivative payoffs.
Scope
- CLN construction linking note cashflows to CDS-style credit protection
- Single-name and first-to-default basket variants
- Recovery rate and credit event settlement mechanics
Use Cases
- Credit desks creating funded credit exposure as an alternative to unfunded CDS
- Investors seeking enhanced yield with embedded credit risk and defined loss profiles
Expected Capabilities
- CLN pricing given credit curve, funding curve, and recovery assumptions
- Recovery rate sensitivity analysis
- Break-even spread calculation relative to equivalent unfunded CDS protection
FX
Full EMTA FX NDF Templates
Status: Planned
Complete set of EMTA-standard NDF templates covering all emerging market currency pairs with official fixing sources and settlement conventions.
Scope
- Pre-built specs for all EMTA-published currency pairs (BRL, CNY, INR, KRW, TWD, and others)
- Automatic fixing source and settlement date resolution per EMTA definitions
- Integration with Vade's existing NDF pricing infrastructure
Use Cases
- EM FX trading desks pricing NDFs without manual convention lookup
- Operations teams validating settlement terms against EMTA standards
Expected Capabilities
- NDF construction from currency pair alone using EMTA defaults
- Fixing source registry mapping each pair to its official rate source
- Settlement calendar integration for each currency pair
Financing
Repo
Status: Future
Repurchase agreement pricing with haircut, margin, and collateral valuation for both term and open repo structures.
Scope
- Classic repo and open repo construction
- Haircut application to collateral market value
- Accrued interest calculation on repo rate
Use Cases
- Repo desks calculating funding costs for inventory financing
- Treasury teams managing short-term liquidity and collateral allocation
Expected Capabilities
- Repo NPV and accrued interest
- Implied repo rate derivation
- Margin call trigger calculation
- Term and open repo support
Reverse Repo
Status: Future
Reverse repurchase agreements from the cash-lending perspective, mirroring repo mechanics from the opposite side of the trade.
Scope
- Reverse repo as the mirror of repo -- same mechanics, opposite position
- Cash deployment against collateral with haircut protection
Use Cases
- Money market funds deploying cash against high-quality collateral
- Central bank reverse repo facility modeling and rate analysis
Expected Capabilities
- Reverse repo NPV and yield calculation
- Collateral eligibility checks and haircut application
- Integration with repo for net position analysis
Securities Lending
Status: Future
Securities lending with fee schedules, collateral management, and utilization tracking for generating incremental portfolio returns.
Scope
- Lending fee accrual on borrowed securities
- Collateral substitution and eligibility rules
- Recall and return mechanics
Use Cases
- Asset managers generating incremental returns from long portfolios through lending programs
- Prime brokers managing borrow inventory and locates
Expected Capabilities
- Lending fee calculation and accrual
- Utilization rate tracking across inventory
- Collateral coverage ratio monitoring
CLOs
Status: Future
Collateralized loan obligation tranche modeling with waterfall mechanics, overcollateralization tests, and cashflow projection.
Scope
- Tranche construction from pool characteristics and attachment/detachment points
- Priority-of-payments waterfall execution
- Overcollateralization (OC) and interest coverage (IC) test evaluation
Use Cases
- CLO managers structuring new deals and sizing tranches
- Investors analyzing tranche risk-return profiles across the capital structure
Expected Capabilities
- Tranche cashflow projection under base and stress scenarios
- Waterfall simulation with diversion triggers
- Tranche spread, yield, and weighted average life
- OC and IC test monitoring with breach detection
CDOs
Status: Future
Collateralized debt obligation modeling with synthetic and cash variants, including correlation-sensitive tranche pricing.
Scope
- CDO tranche pricing from reference portfolio credit curves
- Correlation modeling for synthetic CDO tranches (base correlation framework)
- Cash CDO waterfall mechanics
Use Cases
- Correlation trading desks pricing bespoke tranches and delta-hedging
- Risk managers assessing portfolio credit concentration through tranche analysis
Expected Capabilities
- Tranche expected loss and fair spread calculation
- Base correlation mapping and interpolation
- Spread sensitivity to individual name and correlation changes
- Default scenario analysis across the portfolio
ABS
Status: Future
Asset-backed securities with prepayment and default modeling, projecting pool cashflows through tranche waterfalls under stress scenarios.
Scope
- ABS cashflow projection from pool-level assumptions (CPR, CDR, loss severity)
- Tranche allocation via priority-of-payments waterfall
- Prepayment model integration (constant and variable CPR)
Use Cases
- ABS investors projecting cashflows under base and stress scenarios for relative value
- Originators sizing tranches and credit enhancement for new issuance
Expected Capabilities
- Pool-level cashflow generation with prepayment and default
- Tranche yield, weighted average life, and duration
- Scenario analysis across CPR, CDR, and severity assumptions
Syndicated Loans
Status: Future
Multi-lender loan facilities with drawdown schedules, amortization, and fee structures for term loans and revolvers.
Scope
- Term loan and revolver construction with commitment amounts
- Amortization schedules (bullet, amortizing, custom)
- Commitment fees, utilization fees, and facility agent fees
Use Cases
- Loan portfolio managers tracking facility economics and fee income
- CLO managers modeling underlying loan pool cashflows
Expected Capabilities
- Loan cashflow projection including principal, interest, and fees
- All-in yield calculation incorporating fee structures
- Fee accrual and payment date scheduling
- Prepayment modeling with make-whole provisions
Bilateral Loans
Status: Future
Single-lender loan analytics with flexible repayment schedules, supporting both fixed and floating rate structures.
Scope
- Fixed and floating rate loan construction
- Custom amortization profiles (equal principal, equal payment, bullet)
- Prepayment penalty calculation
Use Cases
- Bank lending desks pricing bespoke loans and assessing return on capital
- Credit analysts evaluating loan economics relative to bond alternatives
Expected Capabilities
- Loan NPV and yield to maturity
- Duration and convexity measures
- Amortization schedule generation with payment breakdowns
Total Return Swaps
Status: Future
Derivative providing total economic return of a reference asset in exchange for a funding rate, enabling leveraged or synthetic exposure.
Scope
- TRS construction referencing bonds, loans, or indices
- Periodic return settlement (price appreciation plus coupon income)
- Margin and reset mechanics
Use Cases
- Hedge funds gaining leveraged exposure to credit assets without direct ownership
- Dealers hedging inventory risk through synthetic transfer of economic exposure
Expected Capabilities
- TRS NPV from both total return receiver and payer perspectives
- Return leg projection from reference asset pricing
- Funding leg accrual calculation
- Basis risk analysis between TRS and direct ownership
Bond Forwards
Status: Future
Forward contracts on bond delivery with invoice price calculation, conversion factors, and cheapest-to-deliver analysis.
Scope
- Bond forward construction with delivery date and contract specifications
- Conversion factors for deliverable bond baskets
- Cheapest-to-deliver (CTD) identification
Use Cases
- Government bond futures basis traders analyzing delivery option value
- Portfolio managers locking in forward bond purchases for asset-liability matching
Expected Capabilities
- Forward price calculation incorporating carry and financing
- CTD identification across deliverable baskets
- Basis and net basis computation
- Delivery option valuation
Infrastructure
Portfolio Valuation Engine
Status: Planned
A trade store and book structure for holding positions, enabling portfolio-level pricing, mark-to-market, and position lifecycle management.
Scope
- Trade store for persisting instrument positions with metadata
- Book hierarchy for organizing trades by desk, strategy, or entity
- Portfolio-level mark-to-market aggregation across books
- Position lifecycle management (new, amended, closed)
Use Cases
- Trading desks maintaining live position books with real-time valuation
- Risk managers computing portfolio-level valuations across multiple books
- Operations teams reconciling positions and tracking trade amendments
Expected Capabilities
- Trade capture and storage with full audit trail
- Book-level and portfolio-level NPV aggregation
- Position history tracking and amendment logging
- Bulk repricing across curves, dates, and scenarios
Risk and PnL Engine
Status: Planned
Portfolio-level risk analytics and PnL computation integrating with the Portfolio Valuation Engine for comprehensive risk management.
Scope
- Value-at-Risk computation (parametric and historical simulation)
- Scenario analysis and stress testing framework
- PnL computation across books and desks
- Integration with Portfolio Valuation Engine position data
Use Cases
- Risk managers producing daily VaR and stress test reports
- Front-office traders monitoring intraday PnL and risk limit utilization
- Compliance teams verifying adherence to risk limits and regulatory thresholds
Expected Capabilities
- Parametric and historical simulation VaR
- User-defined stress scenarios with curve and rate shocks
- Daily and intraday PnL computation
- Risk limit monitoring with breach alerting
- Risk factor decomposition across portfolio dimensions
PnL Explain
Status: Planned
PnL attribution and decomposition breaking down portfolio PnL into its fundamental economic drivers for transparency and control.
Scope
- Carry and roll-down decomposition
- Curve move attribution (parallel shift, slope change, curvature)
- Theta and cross-gamma effects
- New, amended, and closed trade PnL isolation
Use Cases
- Traders understanding daily PnL drivers and validating against market moves
- Risk managers comparing realized PnL against risk predictions
- Management reporting on desk-level performance attribution
Expected Capabilities
- First-order and second-order PnL attribution
- Carry and roll-down separation from market-driven PnL
- Curve shift decomposition into parallel, slope, and curvature components
- Trade lifecycle PnL effects (new deal, amendment, maturity)
- Unexplained PnL residual tracking and investigation support