Analytics Library (ALib™)
ALib represents hundreds of work-years of well-controlled development concurrent with extensive global production usage by top-tier derivatives dealers, leading hedge-funds and electronic trading platforms.
"The Excel interface to ALIB that inherits its Object-Oriented design allowed me to quickly build a sophisticated proprietary Derivatives Trading System for pricing, real time risk management, live scenario analysis and very comprehensive strategy back-tasking that can incorporate multiple schemes of dynamic hedging."
Its popularity is due 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. Because of its high level of accuracy and superior performance, ALib has become popular among several leading government-bond dealers. ALib is within their algorithmic trading platforms dealing within the high-volume secondary market for fixed-income securities. The analytics behave consistently when used in spreadsheets, on traders and analyst desktops, and when integrated with vendor or in-house trade management systems.
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.
- Exotic Pricing including Bermudan, IndexAm, Chooser Caps.
- Distributed Computing Environment.