FINCAD, engaged in independent pricing and risk analytics, announces the latest release of FINCAD Analytics Suite 2009 for Excel. This launch responds to volatility affecting yield curves by including recently released basis curve pre-built workbook applications into one complete package.
Recent events have resulted in record high levels of volatility combined with low liquidity in many financial markets. These two factors have profoundly impacted yield curves, returning unexpected results and leading to anomalies between counterparty and in-house valuations. FINCAD has created convenient, easy-to-use workbook tools to address these valuation anomalies with three new workbooks: basis spread curve, vanilla swap with basis spreads, and compounding swaps with basis spreads.
The CDS workbook, also included in this latest release, implements the ISDA model in a format similar to FINCAD’s current solutions with the added benefit of providing fair value as well as additional risk measurement outputs such as par spread and risk statistics.
“Our latest release further demonstrates that we recognize the importance of promptly responding to market conditions and providing solutions to our clients’ pressing needs for better risk management and increased transparency,” says Bob Park, president and CEO, FINCAD. “We also recently provided our customers with a workbook to support the new ISDA CDS standard model for pricing single name CDS contracts.”
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