Distributed computation

Despite the recent adoption of analytical approximations for pricing single layer structured credit derivatives such as single-tranche CDOs, there are times when you need a simulation-based approach to get the complete view.

Our grid-enabled Monte Carlo engine allows you to run pricing or delta simulations in parallel for any type of structured credit trade such as CDOs squared, cubed or CDOs of FTD or NTD basket trades. This means that you can run a delta scenario on a CDO squared - taking over an hour on a single PC - in minutes.