Quantifi, a software company that makes applications for the credit markets, has released version 4.0 of its Toolkit. It includes a pricing tool for cross- currency hybrid credit derivatives, for use by banks, hedge funds, and insurers.
“The market for exotic credit derivatives has grown dramatically,” says David Schranz, Head Exotics Trader and Manager of Global Quantitative Research at CIBC. “Having commercially available tools to accurately price and risk manage these rapidly evolving products is crucial to the market’s continued success. Quantifi provides the kind of robust, simple to use tools necessary to manage these complex transactions.”
“This release firmly establishes Quantifi’s leadership in credit modeling with the addition of several significant new features including a model for cross-currency hybrid credit products, two new models for fast and accurate pricing of synthetic CDOs and Nth to default baskets, and a tool for calculating complex risk sensitivities,” claims Rohan Douglas, Founder and CEO of Quantifi.
The Quantifi Toolkit covers credit default swaps (CDS), options on CDS, Nth to default (NTD) baskets, collateralized debt obligations (CDOs), structured notes, credit options, and quanto and contingent credit products.