Credit Derivatives Quantitative Analytics (CDQA), is a software system based quantitative analytics solution for the valuation, risk metrics calculation and analysis, hedging and arbitrage analysis of credit derivative instruments. The initial sets of instruments covered are as follows:

Total Return Swaps (TRS), Credit Default Swaps (CDS), Credit Linked Notes (including obligations collateralized loans – CDO, CBO, CLO), Bespoke CSO, Bespoke FTD, Bespoke CDS Index, Credit Default Swaption, Recovery Lock, Recovery Swap, TRS Basket, CDS Index, CDS Index Option, CDS Index Tranche, CMCDS,  CDSABS

In due course newer instruments and complex structures would be added to the instrument set.    CDQA’s server side integrates with market data and trading and position keeping systems. The application is cluster aware and works smoothly in a grid environment. The primary technologies are Java, C++, Mat lab and a database. The solution is database agnostic and it supports relation.