QUANTIFI TOOLKIT VERSION 5.0 RELEASED
QUANTIFI ANNOUNCES PRICING AND ANALYTICS FOR CONSTANT MATURITY CDS AND OPTIONS ON CDS BASED ON REDUCED FORM MODELS
PR9.NET September 15, 2004 - New York, NY - Quantifi LLC, a financial software company focused on analytics and risk management solutions for the world's credit markets, today announces the release of Quantifi Toolkit version 5.0 - its advanced and comprehensive suite of credit derivative pricing models.
The toolkit includes pricing of Options on Credit Default Swaps (CDS) and Constant Maturity CDS products using reduced form models for defaults. These provide global financial institutions such as banks, hedge funds, and insurers the ability to value and risk manage these products in a framework consistent with common best practices for pricing vanilla CDS.
"This release further solidifies Quantifi's status as the industry benchmark in credit modeling with the addition of several significant new features including pricing functions for Options on CDS and Constant Maturity CDS, done in a manner that will allow risk managers to capture a unified view of their credit risk profiles," said Rohan Douglas, Founder and CEO of Quantifi.
The Quantifi Toolkit supports a wide variety of credit products and is the most comprehensive suite of credit derivative pricing models available.
A partial list of products covered includes credit default swaps (CDS), options on CDS, Nth to default (NTD) baskets, collateralized debt obligations (CDOs), structured notes, credit options, FX options, caps, and floors, quanto and contingent credit products, and constant maturity CDS. The toolkit is designed using an innovative and flexible object-oriented approach which provides a simple and extensible interface that dramatically reduces the time-to-market for new models and allows for easy integration with existing proprietary systems.
# # #
About Quantifi LLC
Quantifi Inc is a financial software company founded to provide state of the art models, pricing tools, and risk analysis for the world's credit markets. Quantifi also provides consulting services around the integration, training, and use of its products.
|Recent News Headlines
|Industry Category of Current Press Release