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For anyone familiar with the above system does it have the Variance Gamma approach built in one of the "core valuation functions"?

Anyone any knowledge of this please?

I have been working with Front Arena Prime/Atlas for quite a while now (4 years) but have not yet detected any Variance Gamma pricing core val function. I could check on that for you with respect to the latest release. Which one do you use / need the information for? (If you're a Front user you can check it yourself on their website.)

I have looked at the documentation reasonably extensively and really was just looking for confirmation that it was not there. In your experience is it fair to say that the system has really just got reasonably basic models and that for more eotic product it is necessary to look at additional add-ins? Many Thanks for your response.

Let me put it this way: We like the system very much for its nice Python interface which allows us to attach our own val functions via DLLs to it. I am not sure if, e.g., the Libor Market Model is used by anyone doing serious business in IR derivatives. On the equity derivatives side, there isn't any sophisticated model in the system (not to mention hybrids).

The new Heston model by Paul, calibrated by Chow Yun , is amazing

Do you guys know how to make the underlying bond in a bond TRS to use market price instead of theoretical price to arrive at estimated future price for underlying in front?