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The toolkit includes the first commercially available pricer for cross-currency hybrid credit derivatives, and can be used by global financial institutions such as banks, hedge funds, and insurers to value and risk manage the most complex exotic credit derivative products trading in the marketplace.
"The market for exotic credit derivatives has grown dramatically. 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," said David Schranz, Head Exotics Trader and Manager of Global Quantitative Research, CIBC.
"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," said Rohan Douglas, Founder and CEO of Quantifi.
The Quantifi Toolkit supports a wide variety of credit products and is the most comprehensive suite of credit derivative pricing models and tools available.
A partial list of products covered includes 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. The toolkit is designed using an innovative and flexible object-oriented approach which provides a simple and extensible interface that dramatically reduces the time-to-market for new models and allows for easy integration with existing proprietary systems.
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