Together with our partner 1plusi GmbH we developed the software "KreditPricer PLUS" which provides versatile pricing methods for loans. The KreditPricer PLUS can be used for the calculation of a loan's terms at the issuance of the loan as well as for the pricing of outstanding loans on a present value basis. The following functionality is implemented in the library:

• Automatic calculation of amortization schedules for annuities, instalment loans, and bullet loans
• Possibility of editing arbitrary cashflow structures
• Pricing of a loan as the expected discounted value of future cashflows taking into account the current term structure, the recovery rate of the loan, and the default probability of the debtor
• A term structure of default probabilities can be specified explicitely or can be computed by the library from a one-year transition matrix
• Pricing of embedded options using a combined term structure and rating model. Currently implemented: Amoritzation rights (arbitrary number and level), caps and floors for floating rate loans
• In addition: Calculation of regulatory capital according to the current Basel II rules

KreditPricer PLUS is delivered as Excel AddIn with it's own Excel based graphical user interface. The library can be used as it is delivered or can be used in an already developed Excel environment. Any aspect of it can be customized to a bank's needs. We also provide the library as pure C++ library allowing the integration of the library in virtually any system (e.g. Kondor+, FRONT ARENA, Murex, SAP etc.).

To request a demo version, please contact bernd.engelmann@quanteam.de or have a look at www.kreditpricer.de. You will find there additional information about KreditPricer PLUS as well as a web version of the product which shows a large portion of the products functionality.