The module is already in use at Banca Intesa, an Italian banking group. "We are quite pleased with the new functionality," says Paolo Sironi, Head of Risk Management for Market Risk at Banca Intesa. "The module has allowed us to greatly expand our instrument coverage in Algo Suite while reducing the time for delivering new lattice-based instruments."
"There is a general trend in the industry to be able to price new instruments using generic methods as opposed to one-off code development," says Diane Reynolds, Director of Analytics at Algorithmics. "This module fits that trend and complements the existing risk analytics for which Algorithmics is well known."
The new module is derived from a proprietary Willow lattice framework that significantly outperforms traditional approaches in performance, accuracy and stability. The module is fully integrated within Algorithmics' Mark-to-Future architecture, allowing it to be used as part of a wide variety of risk analyses.