CapeTools QuantTools Developer 2
CapeTools QuantTools Developer 2 Ranking & Summary
CapeTools QuantTools Developer 2 description
CapeTools QuantTools Developer 2 CapeTools QuantTools Developer (C++, java, .NET, ActiveX) is a financial instrument modelling toolkit. The libraries contain more than 2100 functions used for managing, pricing and risk management of financial derivatives.
Over 120 categories of financial functions are supported :
- Markets (Indexes, Calendar, FX objects)
- Market Curves (Regular, XCCY, Bond, Repo & Credit YieldCurves as well as Volatility Curves)
- Query Market Curves (Query curves objects within the Market Curves category)
- Credit Derivatives (Credit Link Notes, Credit Default Swaps (CDS) and Options (including Regular, Binary and structured)
- Option Portfolios (40+ exotic option pricers. You can create option portfolio to manage, select, group and price exotic deals, conduct scenario analysis, bump risk, compute any first or second order risk as well as solve for any input parameter)
- Bonds (Government and regular bond portfolios, compute forwards, Yields, options, repo rates as well as conversion factors)
- IR Legs (Flexible fixed or floating interest rate leg structures (CMS, Quanto, Amortised, InArrears))
- Swaps (Swap contracts, FIX-FIX, FLT-FLT, FIX-FLT)
- IR Portfolio (Swap, CapFloor, Swaption, BasisSwaps or CDS books)
- IR Risk (Interest rate yield curve/volatility risk)
- Processes (Underlyer process objects for simulation)
- Simulations (Conduct simulation given process objects)
- Generic Pricing (Generic user defined deals via Tree, MonteCarlo or PDE)
- Models (Create interest rate model objects (BlackKarasinski, HullWhite, G2, LMM))
- Calibration (Calibrate interest rate models within the Models Category Group)
- Statistics Category Group (Generate random numbers from over 12 distributions)
- Technical Analysis (160 TA functions)
- Utils (GRID computing support, Matrix operations, object serialisation, interpolation objects (1D and 2D))
- FpML (Functions to read and query, via XPath, FpML documents)
- Financial Objects :Our library actually creates objects that return string keys. These keys are then passed to other functions in order to either build other objects or to request information. Thus functions act like a kind of LEGO type construction. This sets us apart from most financial tools where all the parameters are passed into one function and thus all the parameters need to be processed. By building your pricer via objects, you generate flexible pricers.
- Equity pricing : Advanced equity options portfolio management (sorting, selecting, grouping trades and pricing those that are selected or grouped in any currency). This also includes requesting the entire first and second order 'Greek' risk values for all the double-valued input parameters.
- MonteCarlo pricing : Provide low level Monte Carlo functions, thus if do not implement a monte-carlo financial function that you need, give you the tools to generate random paths that you can then apply your payoff against.
- Credit Derivatives : Functions to create regular and binary credit default swap (CDS) objects based on data extracted from a Bond, Floating leg or Fixed leg objects Functions to create regular and binary credit link bond/notes (CLN) objects based on data extracted from a Bond, Floating leg or Fixed leg objects
- Bonds : Functions for constructing Bond objects given a yield-to-maturity value (YTM), Clean Price or YieldCurve. You can construct FixedCoupon, FloatingRate, MoneyMarket or ZeroCoupon Bond objects. There are functions to construct portfolio of fixed rate bonds. In addition you can create currency specific FixedCoupon Bond objects. The following currency specific bonds are supported :
- Interest Rate Legs : Functions to create a wide variety of interest rate leg objects. These objects can be priced and queried directly. In addition, these legs can be passed to Swap building functions in order to build exotic swap contracts. Furthermore, structured deals can be constructed by aggregating an unlimited number of leg objects. Lastly, these objects (as well as the aggregation of these objects can be the subject of interest rate yield curve and volatility curve risk).
- Interest Rate Risk Management : Most (Excel) financial pricing systems do not support the notion of objects and thus a lot of the grunt work has to be done within Excel itself.
- YieldCurve Strippers : Given deposit, futures, FRAs and Swap instruments, functions can strip out a discount factor (yield) curve. One can also input discount factor rates directly, or strip from zero rates or forward rates.
- Volatility Curves : Functions to create volatility curves (or grids). These curves (whether one, two or three-dimensional) can utilise a variety of interpolation methodologies in order to acquire a volatility value from the curve.
- FpML Interrogation : Functions to read FpML files. You can either use any of the 400+ canned FpML query functions that have already been pre-programmed for retrieving FpML nodes or apply your own XPath queries.
- Windows Operating System
- 512MB RAM
- 200MB HD space
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