Fast and Intuitive Pricing, Structuring, and Sensitivity Analysis

Quantifi XL is the leading solution for pricing and structuring OTC products. Based on the latest methods and technology Quantifi XL provides a powerful, robust yet simple-to-use solution in a familiar and flexible Excel environment.

“Multiple curve environments have become the market standard and Quantifi’s sophisticated and comprehensive set of yield curve-building functionality matches this new standard. The benefit of using Quantifi is very apparent to the interest rate derivatives team as we now have the ability to make better decisions, place better trades and enhance risk management, which ultimately improves return for our clients.”
-Arne Løftingsmo, Portfolio Manager at KLP Kapitalforvaltning AS

Quantifi XL provides fast and accurate pricing and structuring for even the most complex OTC products in a flexible Excel environment. Comprehensive, powerful, and easy to use functions cover the simplest accrued interest calculations to the most advanced pricing and sensitivity analysis. Extensive on-line help, tutorials, and worksheet examples make getting started and using Quantifi XL simple and intuitive.

Key Benefits

  • First to market support for CVA and OIS/CSA discounting
  • Proven market leading models
  • Comprehensive independent pricing, sensitivity and scenario analysis
  • Ground breaking performance
  • Familiar Excel™ interface without hard-to-support proprietary scripting, named ranges or data tables
  • Seamless integration of popular data vendors
  • Exceptional training and support

Asset Coverage

  • Fixed Income
  • Credit Derivatives
  • Interest Rate Derivatives
  • Foreign Exchange
  • Loans, CLOs, Derivatives
  • Inflation Bonds and Derivatives
  • Convertible Bonds
  • Hybrids

Advanced Models

  • Comprehensive support for valuation and hedging using OIS/CSA discounting
  • Integrated CVA pricing and hedging
  • SABR volatility modelling
  • LMM for rates and inflation
  • CDO stochastic correlated recovery
  • Advanced credit volatility modelling
  • Comprehensive finite-difference and ultra fast semi-analytic sensitvities
  • Integrated data vendor support
  • Multi-core TBB™ technology
  • Intuitive to use

Supported Platforms

  • Windows XP/Vista/7 (32 and 64 bit)
  • Excel 2003/2007
  • .NET 3.5

Quantifi XL is built on Quantifi Toolkit, our extensive, open library of market tested and validated models. This provides a uniquely powerful and extendable platform that allows clients to build their own proprietary models and easily integrate with existing models or data. Extensive on-line help, tutorials, and worksheet examples, which can be navigated using a built in menu, makes getting started and using Quantifi XL simple and intuitive.

 

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