Industry-Grade Financial Analytics™

Analytic Functions

Principal functional areas include:

  • Date routines including year fractions and holiday adjustments for complex schedule generation and curve-building.
  • Credit Derivatives pricing and sensitivity analysis.
  • 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, option adjusted spreads and sensitivities.
  • 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.

Products supported “out of the box”:

These are products for which specific ALib functions exist to price the instrument. Since ALib is a generic analytics library with many advanced model frameworks (like 1 and 2-factor trinomial trees) that make it simple to add new products, this list should not be considered exhaustive. Also terminology can vary and some of these products may be known by other names. It should be noted that the full flexibility in setting up cash flows (i.e. flexible dates, day count fractions, amortization of notional, etc) may not be obvious from this list. Most of the exotic interest rate products can be priced in a 1 or 2-factor trinomial tree framework. Hull-White and Black-Karasinski models are available for all products in 1-factor modes; and for a number of the products in 1 or 2-factor mode. Multiple-name Credit products are valued by choosing either a Monte Carlo or a fast semi-analytic method.

  • Swaps, Cap/Floors, Swaptions.
  • Currency Swaps.
  • CDS (Credit Default Swaps).
  • CDO (Collateralized Debt Obligations. Includes nth to default, etc...).
  • CMS (Constant Maturity Swaps).
  • CMS Swaptions - European or American option on a constant maturity swap.
  • Contingent Swaptions - European or American options where the exercise is contingent on the value of an index being above or below a certain level.
  • Swaptions - European, Bermudan and American. Both legs can be subjected to deterministic amortization of notionals. The floating leg pays on an arbitrary index which can be defined as a linear combination of market indices.
  • Double Barrier knock-out and knock-in Swaps.
  • FX Barrier options (single and double).
  • Quanto Swaps.
  • Exotic swaptions – American/Bermudan options where both legs can be subjected to deterministic amortization of notionals. The floating leg pays - on an arbitrary index which can be defined as a linear combination of market indices.
  • Basis Caps and Floors.
  • Callable Bonds.
  • Outside Barrier Options.
  • Bivariate Binary Barrier Options.
  • Basis Swaps (Muni, CP, etc... Swaps).
  • Asset Swaps.
  • Total Return Swaps.
  • Index Amortizing Caps & Floors.
  • Barrier Options on Caps & Floors – Single and double barriers, Knock-in/Knock-out.
  • Chooser/Survivor Caps and Floors.
  • Installment Caps and Floors.
  • Options on Caps and Floors -American, European, and multi-European (Bermudan).
  • Spread Options.
  • Lookback Options.
  • Sticky Caps and Floors and Collars.
  • Options on Sticky/adjustable cap/floors option.
  • Adjustable Cap/Floors/Collars (also called Momentum or Ratchet).
  • Options on Adjustable Cap/Floors/Collars (also called Momentum or Ratchet).
  • Memory Caps/Floors.
  • Options on Memory Caps/Floors.
  • Power Options (Non-linear, leveraged Options).
  • Basket Options.
  • Compound Options (options on options).
  • Compounding Knock-in/Knock-out Options (where the forward and strike are compounded).
  • N-ways Options - This option gives the holder the right to exchange, at expiry, a pre-determined quantity of an asset.
  • Range Index Bonds & Options.
  • Sinking Fund Swaps & Options.
  • Corporate Bonds
  • Government Bonds (all major currencies)
Suite LLC provides "superior" support. We assign grades to our vendors for (1) availability, (2) product understanding, (3) marketplace knowledge, (4) timeliness and (5) accuracy. Using this system, Suite LLC is our highest rated provider.

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