Risk software survey 2012

Coping with complexity

Software technology

Version 3.4 of the Quantlab analytics development platform offers extended support for overnight indexed swap (OIS) discounting curves, including support for cross-currency discounting, and enhancements for swap surface building. Version 3.6 of the Algorithmica Risk Management System includes expanded support for calculating potential future exposure and credit valuation adjustment (CVA) with plug-ins for external scenario generators, and modelling for central clearing.

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