Quantifi, a provider of analytics and risk management solutions to the global credit markets, has announced the release of Version 9.2 (V9.2) of the firm’s pricing, hedging and risk analysis software. Quantifi has released V9.2 as part of its ongoing commitment to keep customers up to date with the market’s rapidly changing regulatory and operational requirements, as well as providing a broad range of usability enhancements.
“All OTC derivatives market participants are facing significant challenges with regulatory uncertainty and volatile markets. The release of V9.2 builds upon our proven record of first to market innovations that directly address these challenges and allow our clients to focus on their core business. This release provides specific features that reduce operational risk, enhance real-time risk management, and broaden product coverage,” says Rohan Douglas, CEO of Quantifi. “We continue to work closely with clients to provide accurate, responsive, and flexible solutions that match their needs.”
New release offers a streamlined interface to the DTCC/DerivSERV trade matching service. Support for more complex correlation scenarios for NTD baskets and bespoke CDOs. Support for structured deals in risk reporting and analysis. Enhancements feature integrated Risk and PnL attribution reporting that provides detailed analysis of the effects of market movements on profit and loss. Completely rewritten Trade Blotter and integrated ‘what if’ analysis that provides powerful, customised quick trade entry with dramatically improved support for flow products using the latest user interface technology. Shifts in single factor correlations have been added to Generic Scenarios, enabling this robust tool to capture what-if exposures to correlation shifts for nth to default baskets or, in some cases, bespoke CDO tranches.
V9.2 features ability to calibrate survival curves from par spreads, upfront fees and conventional spreads, a fully integrated upfront/spread converter that complies with the Markit-ISDA standard, and calculation of settlement amount for standard CDS contracts with past accrual. Includes a Second Generation Loan Model that more accurately captures the embedded call option related to the borrower’s credit quality, as well as a new Credit Index Option Model which supports arbitrage free pricing of credit index options using a recently published technique that takes into account correlation of default times. V9.2 is powered by Intel multi-core technology which is built into the lowest level of numerical routines for faster execution of complex calculations. A new Function Search Wizard makes search efforts easier, with a fully searchable index of functions, substrings, wildcards, descriptions and ‘recently used’ items.
John Peck, head of Quantifi’s EMEA operation, says: “We have always focused on expanding our software suite’s product breadth and functionality while still delivering superior, robust performance and an intuitive user experience. The flexibility of Quantifi’s underlying architecture enables dynamic product development and allows us to continue to provide first to market competitive advantages to our customers.”