Quantifi XL is the premier pricing and structuring tool for the credit derivatives market. It provides a powerful yet simple-to-use suite of Excel add-in functions and applications for pricing, structuring, and sensitivity analysis.

Quantifi XL consists of hundreds of functions covering everything from accrued interest calculations to the most advanced sensitivity analysis.

The add-ins include on-line help, tutorials, and sample worksheets which can be navigated using a built-in menu to make getting started simple and intuitive.

Quantifi XL is built on Quantifi Toolkit – our extensive, open library of market tested and validated models. This provides a uniquely powerful and extendible platform that allows clients to build their own proprietary models and easily integrate with existing models or data.

Features of the Quantifi XL include:

• Credit curve calibration from CDS, Bonds, and Asset Swaps
• Synthetic CDO Tranches
• CDO2 and CDO of NTD
• Nth to default baskets (NTD)
• Support for complex structures including IO, PO, Funded, Unfunded, Amortizing, floating, step-up, long-short, and zero-coupon structures
• Credit Indices (CDX/iTraxx)
• CMCDS and Recovery Swaps
• Options on CDS and Indices
• Quanto and Hybrid credit
• Options on CDS and CDS Indices
• CDS and Global Bonds
• Swaps, Caps/Floors and Swaptions
• Comprehensive portfolio hedging and sensitivity
• Comprehensive bespoke Tranche pricing including the latest base correlation pricing and hedging techniques
• Base correlation mapping based on moneyness, probability, senior spread, equity spread, protection, equity protection, and expected loss ratio
• Base correlation surfaces based on maturity matching and term structures
• Gaussian, Student-t, Double-t, and Archimedean copulas
• Monte Carlo and Semi-analytic models for both CDO and CDO2
• Factor, pair-wise, and industry correlations
• Term structure of recovery and stochastic recovery
• Local or grid distributed pricing and sensitivity analysis
• Built-in integration of data such as Markit™

Quantifi XL supports local, remote, and grid distributed execution of models for the ultimate in speed and flexibility.

Quantifi XL is compatible with Excel 2000, XP, 2003, 2003 Server, and 2007.