Aladdin™
The Spreadsheet is fast, flexible, easy to customize and cheap. It isn’t going away.
But isn’t the spreadsheet disconnected, undocumented and prone to error and inconsistencies?
Until Aladdin, it’s been the last tool you thought of as a strategic derivatives management weapon in your IT arsenal.
What is Aladdin?
Aladdin is an Excel based pricing system designed primarily for cashflow-based interest rate and exotic derivatives, built with the Excel Interface of Suite’s ALib™ library.
- Template Building Blocks
It is a menu driven set of standard “building blocks” that can be added together to construct complex structured trades. These building blocks consist of market data modules and trade templates - allowing modeling of various product types ranging from simple swaps and options to high-end exotics. Cross/Multi- currency trades are supported where the pricing analytics are available.
- Flexible / Rapid Development
The Excel user interface allows the end user to construct customized payoff functions and build highly structured and specialized trades. However, where this is insufficient, the Aladdin infrastructure is geared towards RAD development of new product templates which can be seamlessly integrated into the core system.
What does Aladdin do?
Aladdin empowers users with a broad range of financial analytic functions. It generates precise payment and accrual schedules based on a minimum number of trade inputs, builds yield and volatility curves for cashflow projections and pricing, and produces risk analytics for a wide variety of instruments including:
- Swaps (vanilla and CMS)
- Caps / Floors
- Swaptions
- Quantos
- CUPS (Currency Protected Swaps)
- Sticky Caps
- Collars
- Bermudan swaptions
- Basis Swaps
- And many more exotic, highly customized and “hard to model” assets.
Exotic option structures use implementations of the Trinomial Hull and White Tree and Black Karasinski models in 1 and 2 factor frameworks using Normal and Lognormal Distribution. Sophisticated Volatility Calibration and Anchoring tools enable the user to fit the models to the market and observe the effectiveness of the fitting. Features include templates for spread curves and 3-point smiles, as well as robust market-data sensitivity measurement tools for hedging.
Aladdin splits the information necessary to price an instrument into a market workbook and a trade workbook. The market workbook contains all the market and reference data, while the trade workbook is where the structure of the deal is modeled. Markets and Trades are easily saved as linked files to be shared with other Aladdin users, making it a great collaboration tool. Model parameters and curve building assumptions are setup as defaults, but are configurable by the user.
Recent enhancements include simplified trade entry, easy deployment, and features that permit you to import, fine-tune, export or archive market data.