GFI launches Hull and White credit derivatives calculator

GFI's offering, called Fenics Credit, prices for credit default swaps, forward default swaps, options on default swaps and cancellable default swaps. Pricing algorithms and risk analysis tools enable users to analyse default swap price sensitivities and responses to changes in specific factors, calculate implied default probabilities for a given recovery rate, and discover prices for illiquid entities through relative-value to benchmark curves.

Users can also price illiquid entities and non-standard contracts using credit curves based on independent, tradable credit default swap market prices rather than equity or bond data. According to GFI, Fenics Credit curves are not subject to the basis risks implicit in spreads approximated from non-default swap sources.

Fenics Credit is subscription-based and accessed via GFI's 'credit portal'. The tool is designed for all market participants in the credit derivatives market including traders, sales staff, risk and portfolio managers, and credit research analysts.

Hull and White, professors at the University of Toronto’s Rotman School of Management, are known for their applied research in the derivatives field and specifically the development of models that price exotic interest rate derivatives. Their partnership with GFI started in May 2002.

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Chartis RiskTech100® 2024

The latest iteration of the Chartis RiskTech100®, a comprehensive independent study of the world’s major players in risk and compliance technology, is acknowledged as the go-to for clear, accurate analysis of the risk technology marketplace. With its…

T+1: complacency before the storm?

This paper, created by WatersTechnology in association with Gresham Technologies, outlines what the move to T+1 (next-day settlement) of broker/dealer-executed trades in the US and Canadian markets means for buy-side and sell-side firms

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here