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Quantifi releases version 7.1 of its credit analytics Tookit package

Quantifi Inc, a provider of analytics and risk management solutions for the global credit markets, has released Toolkit version 7.1.

The company believes the new release, which includes over thirty major enhancements including some of the latest innovations in bespoke CDO modelling and pricing of CDO Squared from base correlations, is the most comprehensive and performance driven credit analytics package available. 

Other enhancements include index option sensitivity functions, which allow calculation of sensitivities to the index constituents, support for upfront-only CDOs, pricing of Recovery Swaps, pricing of Digital Default Swaps, improved documentation, simplified interfaces and overall speed improvements. 

"Pricing of bespoke CDOs is one of the most challenging problems faced by market participants,' says Rohan Douglas, founder and CEO of Quantifi. 'This release simplifies this process while providing some of the very latest advanced techniques used by the major market players. Following our 7.0 release, it shows our continued commitment to working with clients to keep our products as user-friendly as possible and on the forefront of the latest market innovations,'

The Quantifi Toolkit supports a wide variety of credit products and 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. A partial list of products covered includes Credit Default Swaps (CDS), Bonds, Nth to default baskets, Collateralized Debt Obligations (CDOs), CDO Squared, CDO of FTD, Credit indices such as CDX and iTraxx, Constant Maturity CDS, Options on CDS, Options on Indices, Recovery Swaps, Quanto and Contingent Credit products.

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