ALibV3.0™ Financial Analytic Library
Suite’s ALibV3.0™ is a financial analytics library widely used throughout the industry for refined curve-generation, pricing and risk management of fixed-income cash and derivatives products. ALibV3.0™ was developed and battle-tested by traders, quants and technologists to serve as a comprehensive analytic framework for consistent pricing across asset classes.
ALib encapsulates real-world business logic required for trading and risk management of rates instruments ranging from simple cash products to complex swaps, option products, CDS and related derivatives.
ALibV3.0™ contains over 600 derivatives functions. It has powerful yield-curve building models and routines including bootstrapping, multi-curve construction, interpolation, and extrapolation. It also enables curve shifting to feed what-if scenarios and stress testing frameworks. It calculates risk sensitives (the Greeks) that are critical for risk management and regulatory requirements. ALibV3.0™ contains extensive bond analytics. It has support for multiple options models.