This release includes a new semi-analytic model for CDO Squared (CDO2) which offers order-of-magnitude improvements over current techniques such as Monte Carlo. This new model supports overlapping names as well as common variations such as cross-subordination and fixed recovery. This release also adds support for a new product type-CDO of FTD.
"We have seen a lot of interest in evolutions of the CDO product including CDO Squared and CDO of FTD. The release of this model will overcome one of the key difficulties faced by market participants trading this product which is the ability to calculate accurate and fast sensitivities to facilitate risk management", 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 available. A partial list of products covered includes Credit Default Swaps (CDS), Bonds, Nth to default baskets, Collateralized Debt Obligations (CDOs), CDO Squared, CDO of FTD, Credit indices such as CDX and iTraxx, Constant Maturity CDS, options on CDS, quanto and contingent credit products.