Zeliade Quant Framework Newsletter n° 2
ZQF Newsletter n° 2
November 5th, 2008

Dear all,

Please find below the latest news from ZQF

For those who are new to ZQF, Zeliade Quant Framework is an industrial-strength/fully functional development framework for the valuation and risk management of derivatives across all asset classes. ZQF provides production-grade models and pricers on Equity, Credit, Fixed-Income, Forex, Inflation markets, an event-based financial products description, and connects seamlessly to Bloomberg® and Markit® data. You can easily extend the framework in-house with new products and new models. The ZQF .NET library is provided with the source code of all its critical parts.

Above all, we are delighted to announce the new release of ZQF (version 1.2) and also:

What's new on ZQF
Forthcoming features
New ZQF clients

• What's new on ZQF :
Products :

Credit : Credit Link Notes, Synthetic Swap, Leveraged Super Senior
Interest Rates: Cancelable swap, Snowball, Range Accrual swap, TARN, Complex Swap, Complex Cap/Floor
Equity: Volatility derivatives
Multi Asset Equity: Basket Cliquet, Mountain Options, Protected Quanto Notes
FX structured products
Models :

Multi-asset Equity : Multidimensional Heston model
Credit : OGC Large Pool, RFL Large Pool/Generic Model Mixture/Dynamic Hull White model
Credit : Random Recoveries
Methodologies :

Equity : calibration on American options
Credit: new Strike mappings, new Expected Loss algos
What’s new in ZQF Apps :

New FX Web app
New Multi Asset Equity Web app
New Interest Rates spreadsheet app
• Forthcoming features :
VaR on portfolios of Credit derivatives
Structured products on Funds
Commodities Futures and Derivatives
Credit Loan Obligations
• New ZQF clients :
We are also proud to announce new clients :

a new London based Hedge Fund
2 large banks (Risk Departments)
Contact us : contact@zeliade.com
Click here to learn more about ZQF and download the product brochure: Zeliade Quant Framework
If you wish have a demo please call us or fill the demo request
For more information about Zeliade visit our web site Zeliade Systems

Zeliade Systems
56, rue Jean-Jacques Rousseau
75001 Paris - France
+33 1 40 26 17 29
All rights reserved © 2008 - Zeliade Systems.