STCDO Pricing Engine
The STCDO Pricing Engine employs a Gaussian copula framework with stochastic recovery, semi-analytic method, including an internal CDS calibration to extract the hazard rates from CDS quotes and a CDO calibration to extract base correlations from a standard credit index (e.g., DJ Itraxx).
The STCDO Pricing Engine prices standard credit index tranches and includes the following features:
- User specified tranche attachment/detachment points, tranche coupons and upfront point.
- Arbitrary number of names in the CDO and their corresponding portfolio weights.
- CDS spreads (or coupons) and upfront points for each name in the CDO.
- Discrete levels of stochastic recovery for each name and the corresponding probability level.
- Coupon date and maturity date adjustments, roll conventions, choice of day count basis and holiday calendar support.
- New GPU-enabled version takes advantage of NVIDIA graphics processors and delivers accelerations up to 165x faster than serial code. No CUDA or parallel programming expertise needed.
- Tranche present value
- Tranche fair spread, given the upfront points
- Tranche fair upfront point, given the coupon rate
- Tranche mark-to-market value (holder)
- Tranche cash settlement amount (buyer)
Like all SciComp Consulting solutions the STCDO Pricing Engine can be enhanced/modified to meet any particular modeling needs you may have and is available as C/C++ source code, Windows/Linux executable, or a ready-to-use Excel spreadsheet and add-in.
The STCDO Pricing Engine can be enhanced to support the modeling of bespoke STCDOs with a number of approaches for bespoke portfolio mapping of the base correlation available, including:
- Using the same BC curve as for the standard portfolio
- ATM method
- Probability matching method
- Tranche loss proportion method
- Provides a complete, ready-to-use pricing and risk solution for STCDOs.
- GPU-enabled version is 165x faster than serial code, no CUDA or parallel programming expertise needed.
- Delivers a fast entry into the single-tranche CDO market.
- Can be used to cross-check in-house analytics.
- Benefits from a standard Microsoft Excel interface for ease-of-use.
Need more information on the SciComp STCDO Pricing Engine? Contact us
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