v11.1 Analytic Features
FINCAD v11.1 offers many new and enhanced analytics in a wide variety of derivative classes. Some highlighted features are:
- Interest Rates
- TARN Notes and Swaps
- CMS Spread TARN Notes and Swaps
- Snowblade Notes and Swaps
- CMS Range Accrual and Notes
- CMS Tarn Notes and Swaps
- More accurate calibration algorithms
- Options and Volatility
- Calibration of the Heston model
- European option pricing using Heston
- Variance and volatility swaps using Heston
- Fixed Income
- Flexible bond functions with user control of notional, rounding, truncating and calculation types.
- Flexible inflation bond functions
- Mexican bonds
- Ability to price aggregate cash flows and calculate risk statistics for multiple bonds or swaps using single function calls
- Convertible bond functions now include a repo spread
- Utilities
- Calculate the correlation of K variables and output in a matrix. Also allows for stock splits and dividends to be included
- Perform multivariate linear regression for an arbitrary number of variables
- Output multiple key rate adjusted spread curves using a single function
- Credit Derivatives
- Enhanced basket default swap pricing using the recursion method
- Calculation of the implied upfront fee
- Tranche Linked Notes
- Level coupon cash flows for asset swaps
This is only a small sampling of the new features available, for a complete list download a trial version or contact our sales group at USA/Canada: 1.800.304.0702, Europe & Middle East: 00.800.304.07020 or 1.604.957.1200.
FINCAD XL - v11.1 Highlights
- Pricing of TARN instruments ( vanilla, CMS, CMS spread and snowblades)
- Stochastic volatility model to price variance/ volatility swaps and European options
- New functions for working with bond and swap portfolios aggregating fair value, cash flows and risk statistics
- Sensitivity analysis tool
- Custom ribbon for Excel 12
FINCAD Developer - v11.1 Highlights
- FINCAD Developer installed as Visual Studio 2005 Add-in
- FINCAD Developer features available through embedded menu in Visual Studio
- Language sensitive function sample pasting
- Examples are pasted using programming language of current project
- Sample function paste options
- Sample function call
- Sample function call with error checking
- Complete code sample
- Context sensitive menu
- Function parameter and restrictions dialog
- Function reference
- Math reference
Learn about all the new features & benefits in v11.1 (PDF)
