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Zeliade Quant Framework Newsletter n° 2
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ZQF Newsletter n° 2
November 5th, 2008
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Dear all,
Please find below the latest news from ZQF
For those who are new to ZQF, Zeliade Quant Framework is an industrial-strength/fully functional development framework for the valuation and risk management of derivatives across all asset classes. ZQF provides production-grade models and pricers on Equity, Credit, Fixed-Income, Forex, Inflation markets, an event-based financial products description, and connects seamlessly to Bloomberg® and Markit® data. You can easily extend the framework in-house with new products and new models. The ZQF .NET library is provided with the source code of all its critical parts.
Above all, we are delighted to announce the new release of ZQF (version 1.2) and also:
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What's new on ZQF
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Forthcoming features
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New ZQF clients
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• What's new on ZQF :
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Products :
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Credit : Credit Link Notes, Synthetic Swap, Leveraged Super Senior
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Interest Rates: Cancelable swap, Snowball, Range Accrual swap, TARN, Complex Swap, Complex Cap/Floor
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Equity: Volatility derivatives
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Multi Asset Equity: Basket Cliquet, Mountain Options, Protected Quanto Notes
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FX structured products
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Models :
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Multi-asset Equity : Multidimensional Heston model
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Credit : OGC Large Pool, RFL Large Pool/Generic Model Mixture/Dynamic Hull White model
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Credit : Random Recoveries
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Methodologies :
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Equity : calibration on American options
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Credit: new Strike mappings, new Expected Loss algos
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What’s new in ZQF Apps :
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New FX Web app
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New Multi Asset Equity Web app
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New Interest Rates spreadsheet app
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• Forthcoming features :
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VaR on portfolios of Credit derivatives
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Structured products on Funds
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Commodities Futures and Derivatives
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Credit Loan Obligations
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• New ZQF clients :
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We are also proud to announce new clients :
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a new London based Hedge Fund
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2 large banks (Risk Departments)
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Zeliade Systems
56, rue Jean-Jacques Rousseau
75001 Paris - France
+33 1 40 26 17 29
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