CDOware's new Kalkcdo product is an ultra high-performance, no-nonsense tool for pricing and hedging synthetic (single tranche) CDOs. Based on Monte-Carlo generated default scenarios, it allows for an arbitrary specification of the full correlation structure between names, and is equally fast using a Gaussian copula or more realistic Student-T copula. A million scenarios on 125 names with multiple tranches can be run in under a minute on a standard Pentium 4/M based desktop or laptop, making full Monte-Carlo analysis viable for accurate pricing as well as hedging. Execution time can be further decimated by using multiple processors/cores, as Kalkcdo supports multithreading on both Windows and POSIX platforms. Kalkcdo achieves this remarkable performance through extremely careful design, extensive optimization and the use of high performance matrix routines. Its speed is 50 times faster than some commercially available Monte-Carlo based products, and compares well with semi-analytical implementations. Product highlights:
Calculates prices, deltas (both single and multi name), cashflows and performances numbers. Supports all common European and US daycounting conventions. Supports sinking funds. Cross platform, currently available for Windows and Linux. Support for multiple processors for accelerated delta calculations. Very low memory footprint, easily scales to a billion paths. Optional, tunable importance sampling.
Advanced signal/timer capabilities synchronize threads in run to timeout or run until interrupted.	New in version 3.3
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