I'm in search of good quantitative tools for managing CDO collateral. It's basically a fixed-income portfolio optimization problem with additional constraints for the tests that have to be passed.I'm looking at Wall st analytics and CDO Vantage, but I need to research if they have what I need. Are there any others?I specifically need to - simulate long term health of the product - minimize multi-period default risk for the portfolio going beyond what is necessary for passing Moody's diversity score test.- do what if analyses for potential trades and instantly see the effect on the compliance tests. kind of like an optimizer.- simulate the effect on the tranche prices.Any suggestions would be helpful. Thanks.

I use, and am satisifed with, WSA's CDO Net. Their user support is above average.

Michaelje,we are leaning towards developing our own tactical optimizer. basically we need a decision making tool that would look at securities available out there and suggest trades to increase yield and pass the tests and let us do what-if scenarios. I'm suprised there's nothing available off the shelf. haven't you ever felt the need for such software?thanks.

So...did you ever find the right tool?

We have used WSA, WSO and Intex is a variety of exercises - the best third party product out there in my opinion would be Intex with WSA a close second.

Codefarm, www.codefarm.com, offers a software that optimize CDO structures. It allows for user defined constraints, e.g. on diversification, correlation, attachment/detachment points and tranche ratings. It selects the names and notional that yields the best spread on the structure within bounds of the specified constraints.

In regard to my earlier posting, it is worth mentioning that I am associated with Codefarm.

In my firm they dumped Wall Street Analytics in favor of handwritten excel sheets. WSA was just too cumbersome to use, too expensive, and not flexible enough. You can easily code all the tests in excel, even without VBA. For the optimization though....I dont know. Dont work on the CDO desk, but I guess at a price tag of 10k per year per license (something like that) you could try to code it up yourself and then claim the saved expenses from your boss in the form of a bonus (make sure to discount the future years savings...not just the 10k from this year).