Analytics Library (ALib™)

The ALib analytic libraries are an unparalleled value for any organization that needs Fixed Income cash or derivatives pricing and risk management. They’re available as Excel add-ins or functions that are easily integrated with vendor or in-house systems. ALib is also provided as a component of Suite’s packaged applications for pricing and risk management.

ALib represents hundreds of work-years of well-controlled, ongoing development -concurrent with extensive global production usage- at JPMorgan. Its popularity is accredited to rich features including an expansive range of analytic functions, a high degree of cross-platform interoperability, a dependable test harness and a powerful generic Interface Generator. The excellent engineering standards and rigid documentation processes have resulted in the most comprehensible, reliable and extendible derivatives analytic platform commercially available.

The product continues to be improved in open collaboration with Suite’s clients who use it for mission-critical derivatives pricing and risk-management functions. Particularly instrumental in ALib’s growing popularity over the past four years is the fact that we offer source code, providing your team with the ultimate in transparency, flexibility, and vendor-collaboration. It’s not uncommon for client-side financial engineers to make tactical or experimental enhancements to the code themselves, and then send the changes back to Suite for verification, fine-tuning and integration into the general-release library. The result is a progressive yet well-controlled library, leveraging the strengths and insights of those closest to the market.

Alib's capability ranges from foundation date routines through to exotic tree models and the latest Credit Derivatives valuation and risk management methods. Although coded in the C language, the library's design approach is object-based, featuring abstract data types and the functions that support them. Objects are prominent in both spreadsheet and traditional interfaces.

Principal functional areas include:

• Date routines including year fractions and holiday adjustments for complex schedule generation and curve-building.
• Probability and Statistical Functions.
• Convexity, Delay and Cups (currency protected swap) adjustments.
• Curve functions for bootstrapping, interpolation and extrapolation.
• Extensive, reliable support for Corporate and Government Bonds for pricing, yield to maturity and option adjusted spreads.
• Black-Scholes Model with skew including functions for many option products.
• Generic Tree models for building product specific multi-factor valuations.
• Credit Exposure analysis for Swaps, Swap Options, Caps, FRAs.
• TAM/T4M Swap Pricing.
• Exotic Pricing including Bermudan, IndexAm, Chooser Caps.
• Distributed Computing Environment.