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Home , Callable bond, Credit spread (options)

Comprehensive Multi-Asset Coverage Analytics Suite

COMMODITY CONVERTIBLE BONDS Basket CDS • In-arrears VALUE-AT-RISK Functions output fair value, • flows and options Callable/Puttable bonds Calculate component VaR Options • 1st-to-default, nth-to-default, • Yield to worst Asian probability of conversion, and full Calculate linear VaR from mapped n-out-of-m to default, all-to- • Calculate call or put price Average strike risk statistics cash flows default • Option Adjusted Spread analysis Double average step-up/down/ Calculate and correlation • Supports binary payoffs (OAS) Deferred strike (forward start) rollercoaster matrices Cash flow CDOs forwards, futures, & options Barriers (knock in/out) Amortizing/accreting/odd coupon Map cash flows to pre-defined risk • Simulate waterfall Bond portfolios • Single & double Adjustments for the dilution effect points • Notes can have the same or • exposure Binary of conversion Rebase volatility and correlation different • Credit Value Adjustment • Single barrier Cash flow tables data to a different currency payment frequencies CMS structures • Digital Cash payments on conversion Credit linked notes • Vanilla & user-defined swaps & Multi-asset Conversion caps • Fixed or floating bonds • Baskets Convertibles with callable/puttable • Par rates and spreads • Amortizing/accreting • Cliquets features Rating sensitive notes Jurisdictional specific bonds EQUITY Chooser Fixed or varying exchange ratios Options Recovery rate • Fixed or floating structures Compound Implied spread calculations Asian Default probability estimation • 35 countries Lookback calculations Average strike from Government and corporate bonds Power & quotient Repo spread (borrowing cost) Double average • Bond yield spreads Term structure models Spread Soft calls Deferred strike (forward start) • Swap spreads Credit spread analysis Vanilla Barriers (knock in/out): • Equities (using Merton’s model) Repos Swaps, • Single & double • Transition matrices default Brazilian coverage–including Variance Swaps • Binary spread Hazard rate curve amortizing FRNs • Conditional CREDIT Binary Credit spread options & forwards Credit contingent interest rate • Corridor Asset swaps • Single barrier Total return swaps-user-defined swap • Capped/floored Collateralized Debt Obligation • Digital payment schedules on underlying Cheapest-To-Deliver bond futures Volatility swaps (CDO) & indices| • Napoleon analysis Variance Options • CDO Tranches (synthetic & Multi-asset standard) Flexible FRNs • Baskets Treasury lock Forwards/Futures • CDO Tranche cash flows • Cliquets • CDO Tranche Linked Notes Trigger swap - Permanent & instruments Chooser • CDS index options Periodic Compound • CDS on indices • Discount securities • Interest at Lookback • First loss CDS and CDO tranches Power & quotient • Base correlation mapping • Forward rate agreements Non-callable bond coverage (fixed Spread • Bespoke tranche pricing & risk Employee options • Calibration of base correlation rate) • Coupon step-up/down/ Vanilla Credit Default Swaps (CDS) Index • Options rollercoaster • Amortizing/accreting Portfolio • Cash flows Warrants • ABS CDS • Zero coupon Non-callable bond coverage Credit Default Swaps Forwards/Futures Constant Maturity Default Swaps (floating rate) • Vanilla & user-defined (CMDS) Credit Index Basis Adjustments • Amortizing/accreting • Compounding or averaging fincad.com Copyright © 2015 FinancialCAD Corporation. All rights reserved. FinancialCAD®, UAD™ and FINCAD® are trademarks of FinancialCAD Corporation. Other trademarks are the property of their respective holders. Page 1 of 2 This is for information purposes only. FINCAD MAKES NO WARRANTIES, EXPRESSED OR IMPLIED, IN THIS SUMMARY. FinancialCAD. Comprehensive Multi-Asset Coverage Analytics Suite

FOREIGN EXCHANGE MORTGAGE-BACKED INTEREST RATE UTILITIES Options SECURITIES Accrual swaps Date generation/adjustment/ Asian Accrual bonds Asset swaps–vanilla & cross- flexible weekend DEF Average strike CMOs currency IMM date compliance/upfront Double average Fixed-rate passthroughs or pools Caps/Floors payments for CDS Deferred strike (forward start) Implied prepayment speed given • Vanilla • & risk sensitivities Barriers (knock in/out): price and yield/ z-spread • Digital • Implied volatility • Single & double Binary IO/PO bonds • User-defined • Credit loss distribution Binary spread PAC bonds & companion PACs • Averaging calculations • Digital Prepayment analysis Swaps • DV01 • Single barrier Prepayment utilities • Vanilla/amortizing swaps Interpolation Multi-asset Price given yield/z-spread and • Percentage of LIBOR swaps Implied calculations • Baskets prepayment vector • Credit Exposure • Volatility, strike, rates, etc. • Cliquets Pro-rata bonds • Credit Value Adjustment (CVA) • Goal seek on any parameter • Napoleon Sequential bonds • Brazilian Risk measures: Greeks Vanilla Spread analysis Swaptions Cash flow functions & calculations Lookback TAC bonds & companion TACs • In-arrears swaps Ability to: Spread Utilities for creating prepayment • OIS/EONIA swaps • implement single rates or curves Variance vectors (PSA, ABS, CPR <-> SMM) • Basis swaps, swaptions • take in discreet dividends or yield Swaps Yield analysis • Zero coupon swaps Graph the volatility surface (smile, • Conditional Yield/z-spread given price and • Credit Contingent Interest Rate skew) • Corridor prepayment vector styles Dividend to yield conversion • Capped/floored • European Conversion factors • Bermudan Forwards Discount MUNICIPAL Forward Rate Notes (FRNs) Volatility Basis swaps (eg. SIFMA vs. LIBOR) Capped floater swaps (call/put) Base correlation mapping SIFMA swap curves (using swap CMS/CMT swaps, swaptions Command Line Licensing rates or basis factors) Term structure models Table merge/sort/cleanup INFLATION Caps/floors with averaging Inverse floater swaps (call/put) Any parameter implied from price Compounding swaps Holiday List data Cash flow generation features (SIFMA Caps) Par swap analysis Nested error validation Generic inflation bond functions Cash flow calculations Term structure calibration Inflation curves Fixed vs. floating swaps (eg. SIFMA Volatility bootstrapping (caps and Inflation swaps: year-on-year, zero vs. Fixed) floors) coupon Percentage of LIBOR swaps Serial bond pools CURVE BUILDING Inflation indexed bonds: METHODS • Australia, Brazil, Canada, France Serial callable bond pools Swaptions Swap curves • Germany, Italy, Japan Bond • South Africa, Sweden, UK, USA Variable rate debt Amortizing Municipal Swaps SIFMA Par rates OIS Dual Libor-OIS Separate discount and forward curves fincad.com Copyright © 2015 FinancialCAD Corporation. All rights reserved. FinancialCAD®, UAD™ and FINCAD® are trademarks of FinancialCAD Corporation. Other trademarks are the property of their respective holders. Page 2 of 2 This is for information purposes only. FINCAD MAKES NO WARRANTIES, EXPRESSED OR IMPLIED, IN THIS SUMMARY. FinancialCAD.