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Program description

CapeTools QuantTools XL (Excel Addin) is a financial instrument modelling toolkit. The library contains 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).

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