Our Expertise

The equity market gets all the limelight. It’s sexy, it’s hot. The fixed income market on the other hand, is often personified as being boring and dull. This is quite ironic given the amount of money invested globally in the interest rate market.

Unfortunately, navigating the interest rate markets is not as simple as it looks. You will hear of people talk about things such as yield curves, duration and convexity. Furthermore, to understand these concepts in detail, you need a strong mathematics background.

Geometric Progression specialises in the interest rate markets. We have developed calculators, implemented yield curves and provided automated independent valuation tools for Banks and fund managers. Since many African countries do not adopt the same valuation methodology as that of the US or Europe, we often consult with the system vendors to make the appropriate adjustments.

Geometric Progression offers risk management solutions to all organisations to identify, measure and manage financial risks. We have rolled out solutions to calculate and automate a host of risk measures on individual instruments and portfolios incorporating the following concepts:

  • VAR on an absolute basis or a relative basis (predominantly used by the funds) using historical simulations, Monte Carlo simulations and parametric methods.
  • ETL (Expected Tail Loss), stress testing, scenario analysis and back-testing.
  • Risk alerts and breaches.
  • Geometric returns & Volatility.
  • Sharpe ratio & M².
  • Tracking error and Information Ratio.
  • Downside risk & shortfall risk.
  • Omega ratios & Sortino ratios.
  • Draw-down.
  • Automated distributions and probability.

Notwithstanding the above, we also have experience in generating the necessary input data for off the shelf risk management systems and consult thereon.

The proliferation of regulations imposed on financial markets organisations have placed a large responsibility on management to ensure that measures are in place to detect and prevent market abuse. We have successfully rolled out projects focussing on market abuse and surveillance. This includes trade, trader and client analysis to detect:

  • Front running positions.
  • Market manipulation and out of range trades.
  • Volume reports.
  • Market spoofing.
  • Attempting to artificially fix or move the mark to market.
  • Market and counterparty concentration.
  • And much more.

Replicating market indices (particularly fixed income) and undertaking performance attribution is quite a formidable task. Geometric progression has been in the fortunate position of being part of the design process of many indices that are used today. Thus, we have the detailed knowledge of how they work and have successfully implemented projects and programs to independently calculate the indices daily and objectively compare performance between indices and portfolio’s.

This experience includes writing programs to generate the necessary input data for off-the-shelf performance attribution systems.

Geometric Progression offers generalised research services for all business types. The research we have previously run for clients includes:

  1. Business plans.
  2. New Product Development.
  3. Competitor Analysis.
  4. Fundamental & Quantitative analysis. This includes fund and investment research.
  5. Modelling - from factor models to good old "what-if" scenarios.

Given the specialist nature of our business, we do our own development. What makes our programming team different (and better)?

  • We are market practitioners. This means that we only provide programs for industries and sectors in which we have extensive experience. This typically negates the need for a business analyst and even an exceptionally detailed specification.
  • We have the mathematical capability to program even some of the most complex issues.
  • We have a wide range of associations to draw on for specialist projects.
  • We can develop in a host of languages such as Excel VBA, Python, .net (C#, VB, C++), Javascript & Php (including HTML and CSS – I suppose this goes without saying).
  • We can develop mobile apps for IOS, Android and Windows.
  • We are geeks!

Notwithstanding the above, we are often called in to automate processes for clients (especially for Excel). This includes independent add-ins, optimising spreadsheet speed, automating dashboards etc.

Finally, check out our fixed income calculator on the Apple App Store (free) as well as the Android Play store (free). Please click on the respective links to download the app to your device.

Get it on Google Play Download on the apple App store

We are in the process of developing some unique apps for the financial markets - Watch this space!

Geometric progression has for many years provided investment analysis and research for institutional clients.  We have been overwhelmed by the amount of people that have come to us requesting help with respect to their personal finances using the mathematical diversification tools, scenario analysis tools and detailed reports that we run for these institutions.  Although we have the licence to undertake investments for individuals, we are temporarily not taking on any more clients for this type of service. The reason is that we are due to go live with our investment app in 2017.