Fincad Enhances Analytics Suite

In response to credit market disruptions, high volatility and regulatory compliance requirements, Fincad has made substantial enhancements to its analytics library.

The new Fincad Analytics Suite 2010 includes interest rate curve improvements; expanded counterparty credit risk coverage to include Potential Future Exposure (PFE) and Credit Value Adjustment (CVA) on portfolios of interest rate derivatives, bonds and user-defined cash flow streams; an implementation of the ISDA Standard CDS Model integrated into the suite including comprehensive risk reports and default curve generation as well as a new credit index basis adjustment to default probably curves to allow more accurate pricing of CDS index trades.

In addition volatility coverage has been expanded using the Heston stochastic volatility model for a variety of option types including Asian, Cliquet and barrier, as well as capped variance swaps. Usability has also been enhanced with holiday calendars for multiple jurisdictions.

Bob Park, president and CEO of Fincad, said in a statement, “In the wake of unprecedented market events FINCAD Analytics Suite 2010 represents a significant advance towards helping our clients contend with the new realities. We have responded with enhancements that will allow our clients to safeguard against extreme market events, while providing functionality that rivals anything currently available in the market.”