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Quantifi Releases Next Generation Yield Curve Construction

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Quantifi, a provider of analytics, trading and risk management solutions for the global capital markets, today announced the release of a new generation of yield curve construction that supports the latest best market practice of ‘Double-Curve’ interest rate valuation.

The recent credit crisis introduced fundamental changes to the way interest rate derivatives are valued. The large basis observed in the market has driven changes to how yield curves are calibrated and used to value all interest rate derivatives. Broker-dealers have been updating their curve construction methodologies to reflect what is now considered market best practice. In addition, these market changes have significant accounting ramifications for IAS 39, FASB 133 and FASB 157 compliance.

“Multiple curve environments have become the market standard and therefore have to be included in valuations. Quantifi is first to market with a sophisticated and comprehensive set of yield curve-building functionality that matches this new standard and puts clients on an equal footing with broker-dealers when pricing new transactions or unwinding existing ones,” comments Peter Decrem, director of rates products at Quantifi.

Quantifi’s new yield construction methodology includes the following features:

– Multiple curve simultaneous calibration matching market best practices

– Curve-building technologies allowing construction of curves even with sparse illiquid points

– Optimisation techniques that produce stable results measured in tenths of a millisecond

– State of the art interpolation schemes matching broker-dealer technology

– Stable and meaningful hedges of even the most complex securities

– Support for flexible microstructure effects such as end-of-year turn and forward rate spikes

Rohan Douglas, CEO at Quantifi, comments, “This release puts Quantifi truly at the forefront of yield curve technology and provides a much-needed solution for a significant market need. Our clients have come to rely on our consistent first-to-market delivery of key innovations for the rapidly evolving OTC markets. We feel this provides our clients with an important competitive edge.”

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