Lacima v.10.4 now available

Lacima v10.4 has been released and includes a range of new features including enhancements to the LNG functionality, battery storage and FX models and an expanded suite of REST-based APIs.

The continued development of the Lacima platform reflect our strong customer-focus and ongoing commitment to providing best-in-class valuation and risk management solutions.

Contact us now to realise the benefits of v10.4

Lacima v10.4 is available to all supported customers free of charge (excluding upgrade services such as testing individual client configurations). Wish to upgrade or add to your current solution? Log a query at www.lacimagroup.com/contact, email info@lacimagroup.com, or speak to your usual contact.

Please note that with this new release, we will be discontinuing support of all versions up to and including v9.9, effective 1 August 2025.

Major enhancements

Enjoy new analytics and functionality in our flagship Lacima Analytics application, enhancing your ability to calculate and report key risk metrics for your portfolio.

Core NEW and ENHANCED

• A set of indexation pricing functions for LNG deals are now available for users to select input function parameters via a table, including:
  • Lagged average pricing, such as Brent 3-0-1
  • Different averaging methods, including out-turn spot, average forward prices over period and average of final settlement forward price
• FX forward curves can be imported, ensuring the valuation of FX trades aligns to market values. FX forward price modelling previously required the calculation of expected forward rates based on the current rate and relevant interest rates (using a standard no-arbitrage approach). Whilst this ensured consistency across different elements when valuing a portfolio of trades, the calculated FX rates may have differed from market-based FX forward curves

LNG contracts NEW

• A new LNG contract type has been introduced to simplify and streamline the management and valuation of LNG cargos. Shipping pricing can now be chosen using a formula or derived from vessel economics

Renewable generators ENHANCED

• The Battery Storage model has been enhanced to enable the value of battery assets to be captured in simulation-based risk calculations (e.g. Earnings-at-Risk) based on an energy arbitrage approach, in one simple-to-configure location

Swing/Storage ENHANCED

• Proxy risk factors can be selected for the calculation of a contract’s optimal decision surface for swing and storage

Server NEW and ENHANCED

• New APIs for managing holiday calendars, extracting Parametric VaR correlations and extracting expanded quotes
• Enhanced information displays when using APIs on the processing status of the jobs
• Modified stress test API to allow the extraction data for either individual scenarios or for all scenarios at once

Other enhancements

Core NEW and ENHANCED

• Select FX forward quotes in a forward set to be used as the model’s mean curve, rather than calculating a mean curve from the FX spot value and relevant interest rates
• New ‘Historical Data’ option added to Curve Type field in the Forward Set, allowing the selection of historical data as a model’s mean curve
• New checkboxes added to allow inclusion of model parameters and correlations when copying Assets & Market Set
• Enhanced control in the single factor model for selecting and filtering historical data to be used for calibration
• Indexation module allows variables to be defined and used in the indexation code
• Context menu added to Attributes tab to allow operations such as cut, copy, paste, etc
• ‘Strike Price’ field has renamed to ‘Option Strike’ in tabs displaying a grid of contract information
• Contract grouping control and associated setting allows attributes to be split into ‘Basic’ and ‘Advanced’ sections, making it easier to find common attributes used to define groupings
• ‘Open Log file’ button added to progress bar dialog allowing inspection of log file during long running analyses
• ‘Refresh form’ option added to each module allowing users to refresh the selection of data available in the form
• A new application report can be created via Help menu to provide summary information and statistics about database contents
• New function added to copy existing risk factor in Risk Factors module
• New screen added to Risk Factor Wizard for selecting default Quote Type to be used in an analysis
• New setting created allowing unwanted contract fields/attributes to be hidden when creating a contract filter
• Forecast Curve User Defined Functions (UDF) added to Excel reporting tool UDF wizard
• Option added to switch between displaying interest rate or discount factor when viewing interest rate quotes in Expanded Quotes
• Data storage improved by converting large binary data sets to JSON
• Improved performance for deleting data in stored procedures

LNG deal analysis ENHANCED

• Manage ports via the user interface

Thermal generation ENHANCED

• Ramping and Multi-unit Generators have new option to increase the precision of the startup calculation

Credit risk NEW and ENHANCED

• PFE drill-down data enhanced to include forward curve simulations
• PFE screen reorganised to be more consistent with VaR
• New ability to split simulations into multiple work units

Parametric VaR and Simulation VaR ENHANCED

• VaR screens reorganised to be more consistent with PFE

Valuation ENHANCED

• Improved loading of large result datasets within Valuation & Greeks and Position Reporting

Stress testing NEW

• New ‘Contract Change Parameter (boolean)’ scenario
• New ‘Compare Results’ scenario to allow comparison between selected base case and another analysis

Contracts and User defined risk factors ENHANCED

• Indexation module, User Defined Risk Factor model and User Defined Contract type support table data in variable block and scripts
• User Defined Shared Code (for User Defined Contracts, User Defined Risk Factors, and Indexation) can be exported to SQL

Server ENHANCED

• PFE Stress Test module now available in Generic Analysis Automation & Scheduling Scheme
• ‘Lag by x days’ input field that is available in some Automation & Scheduling Schemes allows for negative lags