Quantifi provides state of the art solutions for valuation and risk management of inflation indexed products supporting important market features such as seasonality.
Valuation of inflation-linked securities requires advanced support for key market features such as seasonality. Quantifi provides state-of-the-art pricing and risk management tools that include support for key market features such as seasonality.
There are a wide variety of inflation-linked products traded in the market. Quantifi provides a comprehensive solution for a variety of inflation linked products, like inflation bonds, zero coupon and year on year inflation swaps. Exotic features of inflation bonds, like flooring of notional and/or flooring of floating coupon payments are also supported.
How inflation curves are created impacts not only valuation, but also risk management. Quantifi supports construction of forward inflation curves from any combination of inflation linked securities. Quantifi's state-of-the-art interpolation algorithms produce smooth inflation curves whilst preserving local behaviour. This allows for consistent pricing of inflation indexed products as well as reliable and stable sensitivities and hedges
Increased market risks and new regulatory initiatives have driven a focus on counterparty risk measurement and management. Counterparty risk now affects all aspects of OTC trading – including front office pricing, accounting, credit risk management and regulatory reporting. Quantifi’s integrated counterparty risk solutions satisfy both front-office pricing and risk reporting requirements.
- State-of-the-art models for a wide variety of inflation linked products.
- Advanced pre trade pricing and structuring
- Efficient, scalable trading and risk management
- Integrated CVA and counterparty risk management
- Next generation transparent risk reporting
- Ground-breaking performance with integrated multi-core TBB™ and grid support
- Simplified operations and data management
- Long track record of innovation and first to market releases for all changes in the OTC markets
- Unified and consistent valuation and risk management across interest rates and inflation
- Support for convexity adjustments for year on year swaps
- Valuation of options embedded in inflation bond payoffs
- Construction of inflation curve from any combination of inflation linked securities
- Valuation includes modelling of seasonality effects