Quantifi upgrade includes CPDOs

Quantifi has upgraded its credit derivatives pricing and risk assessment tool to include pricing models for constant proportion debt obligations (CPDOs). Version 8.6 also prices options on CDO tranches and forward-starting CDO tranches. The new version features models enabling investors to risk-manage and mark-to-market their CPDO positions. Users can now price and analyse options and forwards on CDX and iTraxx.

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