SunGard Trading and Risk Systems has added a credit hedging module to version 5.0 of Monis' Convertibles XL, a spreadsheet-based pricing, analysing and hedging solution for convertible bonds and other equity-linked securities.
The new module includes two new credit default swaps pricing models as an extension to Convertibles XL - a standard analytic Jarrow-Turnbull model and a tree-based model that incorporates the equity-linked spread process from the convertible bond model.
SunGard says the application will help users to accurately hedge positions by providing consistent valuation and risk analysis of credit default swaps and securities, when used in combination with the Monis Convertible product range.
The module can handle cross-currency credit default swaps contracts and also provides price comparisons between different credit markets, enabling users to calculate an implied bond spread from a market credit default swap premium and a fair market premium from a bond spread. Users can also value convertibles with a credit default swap premium as a source of credit risk data in place of bond spreads.
Emanuel Mond, president of the Monis operating unit, SunGard, says the credit hedging module "will help these credit traders to accurately price and hedge credit instruments consistently with convertible bonds and other equity-linked securities".