Suite LLC, vendor of financial analytics for derivatives pricing and risk management releases upgrade to ALib™, a leading analytics library.
Version 3.21 introduces a new approach to curve building. This is designed to help derivatives users deal with the complexities and uncertainties brought about by the demise of LIBOR and the introduction of Alternative Reference Rates.
Dr. Gene Schupak, Suite Partner and head of Quantitative Development states, "The post-LIBOR world will bring significant change to both the liquidity and the structure of market instruments. SOFR futures already trade. SOFR swaps can be cleared but are yet to become liquid. The LIBOR fallback strategy is still to be finalised. Discounting/funding is yet to switch to SOFR. And while there appears to be consensus that the market will ultimately need a Term SOFR rate, there's no clear agreement on how that will come about. And this is just for USD. Similar questions apply in all major currencies."
James Baker, Product Manager adds, "Faced with all these moving parts, Suite decided that its clients would be best served by a new methodology for building curves from completely generic descriptions of the underlying cash flow structures. This way users are sure to be ready whichever way the market evolves."
Suite LLC, established in 2001, is an independent NY City based vendor of derivatives software and services supporting a global client base that includes tier-one Banks, Hedge-Funds, Exchanges and other Financial-Services organizations. ALib™ provides industry-standard pricing and risk management functions for interest-rate cash, derivatives and credit instruments. It is supported across a range of contemporary technology platforms, including Excel, C#, Java, Python and MATLAB. Particular strengths of ALib™ include flexible curve construction routines and broad support for corporate, agency and sovereign bonds.
ALib™ and ALibV3.0™ are registered trademarks of Suite, LLC.
For more information, please visit http://www.suitellc.com
Media contact: [email protected] 212 485 3200
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Suite LLC, vendor of financial analytics for derivatives pricing and risk management releases upgrade to ALib, a leading quantitative analytics librar...View article
Suite LLC, vendor of financial analytics for derivatives pricing and risk management releases upgrade to ALib™, a leading quantitative analytics...View article