“Can you meaningfully evaluate and present certificates for a holistic portfolio analysis and optimization?” This requirement was met in the acquisition of agree21optifolio, the portfolio management tool for the consulting workplace of the cooperative network. For DZ-Bank, one of the project sponsors and Germany’s second largest issuer of certificates, a convincing answer to this challenge was decisive for the project award.

Our approach was to extend the established Tetralog Enhanced Datafeed, called TED, to include a library of algorithms for synthesizing historical price series for the certificate types issued by DZ-Bank.

A concept study provides the answer to an up to now unsolved problem

After intensive discussions with our partners at DZ Bank, it became clear that our approach – to create a valuation basis for certificates by synthesizing time series – is pioneering work that requires an empirical basis. In a comprehensive concept study, we then simulated different approaches to empirically determine the best method and the most important parameters for the synthesization.

A new consulting tool based on mathematics creates trust

With the resulting certificate TED, our customers now have a mathematical basis and visual representation at hand to argue for or against a specific certificate in portfolio optimization. Where private investors used to have to “trust blindly”, our methodology now creates security through facts. We have already modelled over 40 different certificate types, such as reverse convertibles, bonus certificates, ZinsFix express certificates and yield certificates, with the certificate TED – and also linked and synthesised 50,000 individual products.