Quantifi Toolkit is the fastest, most accurate, and
most comprehensive suite of credit derivative pricing models available
today.
The Toolkit contains a full suite of market tested
and validated models which incorporate industry best-practices along
with our own proprietary single-factor and multi-factor analytics.
Extensive product coverage includes pricing and risk analysis for
single-name, basket, quanto, option, and hybrid credit products.
Designed using a flexible open architecture, Quantifi
Toolkit provides a simple and extensive interface that dramatically
reduces the time-to-market for new models and allows for seamless
integration with exisiting proprietary systems.
Quantifi toolkit is thread-safe and based upon a
foundation of extensive financial and numerical routines highly optimized
for speed and accuracy. It comes with a complete set of documentation
including tutorials, reference documents, and step-by-step examples
of use.
Features of the Toolkit include:
- Credit curve calibration from CDS, Bonds,
and Asset Swaps
- CDS and Global Bonds
- Nth to default baskets (NTD)
- Synthetic CDO Tranches
- CDO2 and CDO of NTD
- Credit Indices (CDX/iTraxx)
- CMCDS with caps
- Options on CDS and Indices
- Quanto and Hybrid credit
- Comprehensive hedging and sensitivity
- Comprehensive bespoke Tranche pricing
- The latest base correlation pricing and
hedging techniques
- IR Derivatives
- Monte Carlo and Semi-analytic models for
both CDO and CDO2
- Factor, pait-wise, and industry correlations
- Gaussian, Student-t, Double-t, and Archimedean
copulas
- Term structure of recovery and stochastic
recovery
- Local or grid distributed pricing and sensitivity analysis
In the rapidly evolving credit markets, the ability
to price and support new products in a timely fashion can be crucial
to success. Quantifi has a consistent track record of providing first-to-market
releases of new models keeping our clients abreast of the latest
industry developments.
Quantifi Toolkit is delivered as a C++, C#, or VB.NET
callable .NET object code library on Linux or Windows XP. |
