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Packaged Products
For nearly ten years we have supplied a packaged credit derivatives library for
use by sales people, traders and middle and back office. This is available in two
forms:
- An Excel add-in (link) credit derivatives toolkit for traders, researchers, analysts
and quants. Can be used for P&L, hedging and risk control of trader’s credit derivatives
books, new product pricing or market analysis.
- A COM component (link) credit derivatives library for system developers, quants
and researchers. This provides the entire library of credit derivatives calculations
and can be called from visual basic, C++ or C#. Can be used to incorporate credit
derivatives valuation into transaction systems.
We also supply a maths library suitable for curve fitting and other functional fit
exercises that incorporates several state-of-the-art multi-dimensional minimisation
algorithms. |
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