Powerful and accurate to use, simple to implement.
Why use QuantTools modules ?
When there isn’t an off-the-shelf vendor system available to run your business, and your development requirements outgrow the ubiquitous spreadsheet, designing an in-house proprietary system may be the answer. However, creating a system can be a formidable challenge requiring careful management of resources, quality and time. Prepackaged components can greatly reduce the risks and costs associated with such a project.
Extend your system’s analytic capabilities
Systems are only as good as the quality of the information they provide. Truly useful information is a result of good, reliable data processed by accurate models. QuantTools provides a wide set of market analytics that enhance your system’s inference capabilities, whether to suggest fair market value or to assess risk.
Save valuable time and development costs
Deriving formulas and developing software from scratch is an expensive and intricate process. Complex calculations can demand a good deal of derivation, design, programming, debugging and testing time. When you purchase QuantTools, you get the benefits of an in-house team of quants at a fraction of the cost.
Improve system accuracy and consistency
Callable library modules guarantee consistent calculation across different applications and reports. Each QuantTool module is carefully designed and rigorously tested. The same calculation procedure is invoked each time the function is called, regardless of where it is called from. THI maintains the same functions across all platforms (Unix or Windows) and applications (C++, VB, Java JNI, add-ins), guaranteeing the same results throughout your organization.
Designed for you and your system
QuantTools modules are designed to optimize your system performance with minimum demand on your system resources. Each single module contains numerous possibilities using the optional parameters. The optional parameters provide a wide range of flexibility, accommodating most of your specific needs. On the other hand, the built-in defaults accommodate the latest market conventions, saving you valuable development time.
Highlights
QuantTools modules
Highlights
Extensive analytical coverage of global fixed income markets including sovereign and corporate bonds, discount securities, interest-at-maturity securities, Brady bonds, and futures on bonds, notes and bills. The analytics include accrued interest, average life, cash flow generation, carry, convexity, duration, futures conversion factors, forward price, holding period return, implied future price, implied repo rate, net basis, price, yield, yield with an external reinvestment rate, value of a basis point, value of a 32nd and more. Where applicable, the functions accommodate stepped coupons, ex-dividend treatment, PIK bonds, floating rates, various calendars and tax analysis.
Functions
Payment in Kind (PIK) Bond Functions
Highlights
Pricing, sensitivity analysis (the Greeks), implied volatility and implied strike price analysis for the following option pricing models: binomial, Black, Black-Scholes, jump-diffusion, Garman-Kohlhagen, Barone-Adesi and Whaley, and Roll-Geske-Whaley. The Greek coverage includes delta, omega, phi, gamma, kappa, rho, theta and vega. In addition, there are a variety of functions for estimating volatility from market data, for example from a high-low-open-close time series. Where applicable, the functions accommodate American and European exercise, a holding cost independent of the risk free rate, multiple dividend treatments (continuous yield, constant yield, and actual cash dividends), and holiday adjustments for American options with dividends.
Functions
Highlights
Functions cover pricing and sensitivity analysis for all major exotic option types. Where applicable, the Greek coverage includes delta, omega, phi, gamma, theta, kappa, vega and rho, with respect to each underlying. Many models have several implementations such as analytic, Monte Carlo simulation and quanto variants. The model coverage includes Asian options (average strike and price), lookbacks, quantos, contingent premiums, barriers (single and double), binaries (cash, asset, gap, supershare), binary-barriers (one-touch cash or asset), baskets, exchange options, spread options, compound options, choosers, forward starts, Bermudans, cliquet and swing options
Functions
Highlights
Tools manipulating yield curves and analyzing and structuring swaps. Functions support vanilla and complex swaps including roller coaster and amortizing swaps and allow an unlimited number of swap legs. Almost all parameters may be customized: payment, reset and accrual dates can be arbitrary. Multiple currencies and yield curves, independent rate tenors and swap frequencies and fixed, floating and floating arrears payments are all supported. Included are advanced features such as convexity correction and turn-of-year effects. Capable of constructing yield curves from combinations of spot rates, futures, par swap rates, par bond yields. Also prices bonds (including Bradys) off of yield curves.
Functions
Curve Building and Manipulation Functions
Highlights
Extensive pricing and sensitivity analysis of interest rate options, with comprehensive coverage of caplets, floorlets, caps, floors, options on bonds (including zeroes) and swaptions. Ho-Lee, Hull-White and Black models are all fully supported, including Bermudan swaptions and bond options. The Black-Derman-Toy model is supported as well.
Included are advanced features such as convexity correction and turn-of-year effects and supports the latest methods of interpolation. Capable of constructing yield curves from combinations of spot rates, futures, par swap rates, par bond yields.
Functions
Curve Building and Manipulation Functions
Highlights
This group of functions covers level payment, graduated payment and adjustable rate mortgage-backed passthroughs including stripped securities like IO’s and PO’s. The functions support many prepayment types including PSA, CPR, SMM, custom prepayment vectors, ABS and n month. All of these prepayment types can be combined with a balloon. The analytics support price, yield, duration, cash flows, factors, weighted average life, effective convexity, Z-spread and several implied prepayment speed calculations.
Functions
Mortgaged-Backed Security Functions
Adjustable Rate Mortgage (ARM) Functions
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This group of functions analyzes credit derivatives, including default swaps, basket protection (including nth to default), options on default swaps and credit spread options. Provides two distinct pricing methods. Supports single and periodic premiums and allows for counterparty exposure compensation.
Functions
Highlights
This group of functions covers just about all the date manipulation routines needed in finance. This includes day counts under various calendars such as 30/360 and actual/actual, day of the week calculations, month counts, date cycle calculations, holidays in most major financial centers, and various business day calculations.
Functions
Generalized Cash Flow Analysis
Highlights
Generalized amortization, cash flow and portfolio return calculations. These functions address many of the complexities commonly encountered in amortizing structures such as advanced payments, residual payments, first payment delay, residual payment delay and interest treatment method over odd periods. In addition, the functions compute convexity, duration, future value, present value, internal rate of return and discount margin for arbitrary cash flow streams. All cash flow analysis functions handle unevenly spaced cash flows, multiple compounding methods and cash flow filtering. Portfolio return can be calculated using time-weighted, money-weighted or modified Dietz methods.
Functions
Highlights
Mathematical and utility routines that are often used in finance. The mathematical functions include bivariate normal distribution and density functions, combination and permutation functions, interpolation functions (linear, loglinear, cubic, cubic spline and two-dimensional linear), greatest common divisor, least common multiple, Fibonacci sequence and matrix determinant. The utility functions include conversions to and from decimal and other representation schemes, conversion between various compounding frequencies, and conversion between real (inflation-adjusted) and nominal yields.
Functions
Highlights
Comprehensive analytical coverage of domestic and international convertible bonds. The analytics include convertible bond pricing, implied credit spread, implied volatility and sensitivities to changes in time, stock price, stock volatility and interest rates. Where applicable, the functions accommodate stepped coupons, various calendars, conversion schedules, put options, call options, credit spreads, dividend payments, dividend protection and exchange rate dynamics.
Functions
Domestic and International Convertible Bonds including Stepped Coupons and Sinking Funds
Highlights
Provides functions for performing statistical analysis of asset returns. Statistics include average, beta, correlation, covariance, and standard deviation.
Functions