QuantTools XL is a software add-in for Microsoft Excel that offers a range of financial modeling tools for managing, pricing, and managing risk for fixed income, foreign exchange, and equity derivatives.
CapeTools QuantTools XL is a powerful Excel Addin software designed to provide a comprehensive financial instrument modelling toolkit. With over 2,100 functions, this library enables efficient management, pricing, and risk management of various financial derivatives, supporting more than 120 categories of financial functions.
The software features various market categories, including indexes, calendars, FX objects, as well as regular, XCCY, bond, repo, and credit yield curves, along with volatility curves. The Query Market Curves helps retrieve curve objects within this category. On the credit derivatives side, the software supports credit link notes, credit default swaps (CDS), and options, including structured, regular, and binary.
Option portfolios are managed through 40+ exotic option pricers, enabling the user to develop portfolios that group, select, and price exotic deals, conduct scenario analysis, bump risks, compute first or second order risk, and solve any input parameter.
Additionally, the software supports government and regular bond portfolios, enabling users to compute forwards, yields, options, repo rates, and conversion factors. Flexible fixed or floating interest rate leg structures (CMS, Quanto, Amortised, InArrears), swap contracts (FIX-FIX, FLT-FLT, FIX-FLT), and IR Portfolio including Swap, CapFloor, Swaption, BasisSwaps and CDS books are also available. The IR Risk feature of CapeTools QuantTools XL identifies interest rate yield curve and volatility risk efficiently.
The software includes underlyer process objects for simulation, allowing for easy simulation using the given process objects. The generic pricing functionality enables users to define user-defined deals via Tree, MonteCarlo, or PDE. Users can quickly create interest rate model objects that cover BlackKarasinski, HullWhite, G2, LMM in the Models category group. The Calibration feature allows the calibration of interest rate models within this group.
Generating random numbers from over 12 distributions is possible with the Statistics category group, while Technical Analysis includes 160 TA functions. Users will appreciate the GRID computing support, matrix operations, object serialisation, and interpolation objects (1D and 2D) offered by the Utils category group. Lastly, the FpML feature supports functions to read and query FpML documents via XPath. Overall, CapeTools QuantTools XL is a versatile software that simplifies financial instrument modelling whilst increasing efficiency in managing, pricing, and risk management.
The software features various market categories, including indexes, calendars, FX objects, as well as regular, XCCY, bond, repo, and credit yield curves, along with volatility curves. The Query Market Curves helps retrieve curve objects within this category. On the credit derivatives side, the software supports credit link notes, credit default swaps (CDS), and options, including structured, regular, and binary.
Option portfolios are managed through 40+ exotic option pricers, enabling the user to develop portfolios that group, select, and price exotic deals, conduct scenario analysis, bump risks, compute first or second order risk, and solve any input parameter.
Additionally, the software supports government and regular bond portfolios, enabling users to compute forwards, yields, options, repo rates, and conversion factors. Flexible fixed or floating interest rate leg structures (CMS, Quanto, Amortised, InArrears), swap contracts (FIX-FIX, FLT-FLT, FIX-FLT), and IR Portfolio including Swap, CapFloor, Swaption, BasisSwaps and CDS books are also available. The IR Risk feature of CapeTools QuantTools XL identifies interest rate yield curve and volatility risk efficiently.
The software includes underlyer process objects for simulation, allowing for easy simulation using the given process objects. The generic pricing functionality enables users to define user-defined deals via Tree, MonteCarlo, or PDE. Users can quickly create interest rate model objects that cover BlackKarasinski, HullWhite, G2, LMM in the Models category group. The Calibration feature allows the calibration of interest rate models within this group.
Generating random numbers from over 12 distributions is possible with the Statistics category group, while Technical Analysis includes 160 TA functions. Users will appreciate the GRID computing support, matrix operations, object serialisation, and interpolation objects (1D and 2D) offered by the Utils category group. Lastly, the FpML feature supports functions to read and query FpML documents via XPath. Overall, CapeTools QuantTools XL is a versatile software that simplifies financial instrument modelling whilst increasing efficiency in managing, pricing, and risk management.
What's New
Version 2: N/A