credit derivatives pricing and analytics toolkit for traders, quants, risk managers, researchers and product controllers.

Building a risky curve from bond prices

GMAC

• Pricing and analytics for the most popular credit derivatives – default swaps, total return swaps, default baskets, and spread forwards and options. (Over 70 functions - including implied default probability and implied recovery rate calculations.)
  
  
• Has flexible and accurate risky curve building and handling with smooth forward rates for accurate pricing. Contains curve building from zero rates, yields, bond prices or default swap prices.
  
  

  Pricing a total return swap




• Links into Excel for flexible pricing and analysis of both individual trades and portfolios.
  
  
• The underlying toolkit functions are made available for fast and flexible pricing of custom credit structures.
  
  

  Pricing a new default swap

  
  
  
• Includes a reference assets database and a maintenance application. The database is already populated with the most frequently used reference assets, and additional assets can be added by the user.
  
  
  
  
• Uses the industry standard Jarrow and Turnbull model for default risk and the Black model for spread options.
  
  
  
  
• New and forward start trades can be priced and (of course) existing trades can be valued. All trades can be valued now or for any future date. This is great for creating a picture of expected counterparty exposure or seeing how expected default swap premiums will change over time.
  
  

  Future Value

  
  
  
• The product contains an enlightening and educational manual and help system to get new credit traders and quants up-to-speed fast with the new credit instruments.
  
  
• There is a library of example pricing spreadsheets for both standard trades and custom structures.
  
  
• In addition Quantz has a commitment to a comprehensive enhancement programme which includes adding new instruments as they are traded.
  
  

  Building a risky curve from default swap premiums Greece

• Credit Default Swaps (including digitals, forwards, and forward digitals). Includes implied recovery rate calculation from market price.
  
  
• Total Return Swaps with asset price appreciation paid either on reset dates or at maturity. Includes implied recovery rate calculation from market price.
  
  

  Changing the premium cash flows Exposure

  
  
  
• Credit Default Baskets with arbitrary mixes of assets. Handles both first-to-default and second-to-default baskets. Calculates the individual effect of diversification, default correlation, and the early default effect on the premium flow.
  
  
• With the toolkit functions, Quantz Credit Derivatives prices and values Credit Linked, Default Linked, Spread Linked and (wholly or partially) Principal Protected Notes. (Examples are included with the product.)
  
  

  Comparing a basket with a portfolio of individual default swaps

  
  
  
• Bond and Asset Swap calculations (handling both par and market asset swaps) - since these are used both for hedging and are also incorporated in custom structures.
  
  
  
  
• Spread Forwards and Options, including vanilla options and digitals, and both European and American versions. Uses either a lognormal spread model (for spreads between a risky asset and a risk free asset) or a normal spread model (for spreads between two risky assets). Calculates delta and implied volatility.
  
  

  Valuing a European non default contingent spread option using a lognormal models