Quantifi Delivers Expanded Asset Coverage, Enhanced Regulatory Reporting and Performance Improvements with Launch of Version 10.3.1
Quantifi today announced the latest release of its award-winning pricing and risk analysis software, Quantifi Version 10.3.1 (V10.3.1).
8 Jan, 2013
  • Expanded coverage of Commodities and Loans
  • Enhancements to regulatory reporting tracking the latest guidelines
  • Faster sensitivity and scenario calculations when using OIS/CSA discounting

Quantifi, a leading provider of analytics, trading and risk management solutions to the global OTC markets, today announced the latest release of its award-winning pricing and risk analysis software, Quantifi Version 10.3.1 (V10.3.1). As part of Quantifi’s ongoing commitment to keep clients up-to-date with the latest regulatory and operational requirements this version provides expanded product coverage, enhanced regulatory reporting and faster sensitivity and scenario calculations when using OIS/CSA discounting.

“Version 10.3.1 is our fourth release with OIS discounting, which significantly increases the speed of calculations without sacrificing accuracy. In addition to performance enhancements, this release continues our expansion of asset coverage and our support of the latest market developments and regulatory guidelines.”

Rohan Douglas, CEO of Quantifi

“OIS Discounting is now the market standard, however, this introduces analytical complexity and furthermore the performance impact on calculating risk sensitivities can be significant. Version 10.3.1 is our fourth release with OIS discounting, which significantly increases the speed of calculations without sacrificing accuracy. In addition to performance enhancements, this release continues our expansion of asset coverage and our support of the latest market developments and regulatory guidelines”, comments Rohan Douglas, CEO of Quantifi.

Key enhancements in V10.3.1 include:

Expanded product coverage

  • Expanded coverage of Commodities
  • Support for additional Term and Revolving Loans structures
  • Build-in support for additional AUD market conventions

New and enhanced modelling

  • Expanded marginal new-trade CVA and profitability analysis
  • Enhancements to Vanna-Volga modelling
  • Expanded VaR reporting

Enhancements to regulatory reporting

  • Improved CVA VaR reporting, in accordance with the latest Basel III guidelines
  • Expanded back-testing and reporting capabilities for IMM accreditation under Basel III

Performance improvements

  • Faster sensitivity and scenario calculations when using OIS/CSA discounting
  • Faster load speed Microsoft XL and GUI application

Other improvements

  • Expanded P/L functionality
  • Automated and simplified licensing for clients
  • Over 70+ other individual enhancements and additional features

“Quantifi has developed a reputation for groundbreaking performance. One key reason for this is our early adoption of key technologies that have proven themselves. Our philosophy is to leverage standard, robust technologies and benefit from the significant innovation occurring in that space,” says Mark Traudt, CTO of Quantifi. “This approach has provided our clients significant advantages in performance, scalability, usability, and ease of support. It also has a significant impact on our ability to swiftly and seamlessly delivery enhancements and new features as demonstrated by the release of V10.3.1.”

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