ALib Analytics Library

Financial analytic library for pricing and risk management of cash and derivatives market instruments

Highlights

  • Real-world cash and derivatives pricing used by exchanges and dealers, banks, and asset managers
  • Broad financial instrument coverage including curve builders and support for emerging markets and XCCY
  • Time-tested analytics routines, trusted for over a decade by leading firms
  • Transparency to encapsulated business logic underpinning calculations
  • Code re-use and portability for consistent functionality across technical environments among front, middle, and back office as well as SaaS platforms
  • HPC/HFT, thread safe for multithreaded applications

Description

The ALib™ analytic library is an industry-specific collection of financial functions accessible as standalone or server-based programs. It includes support for:

  • Price discovery and portfolio-level evaluation of cash and derivatives instruments 
  • Market risk-management 
  • Duration analysis
  • Mark to market and P/L attribution

Starting with version 3.0, ALib allows MATLAB® users to call its functions directly from the MATLAB environment. Users can create market-specific curve objects for precise derivations that match those used by leading industry practitioners. The resulting objects are interoperable with the MATLAB graphics framework and are available for further analysis in MATLAB.

ALib also includes: bond analytics, term-structure models, advanced yield-curve generation, mortgage-backed securities, equity derivatives, convertible bonds, and FX and credit derivatives. It has tools for structured product/cross-asset modeling and custom financial model development through the use of Suite LLC’s proprietary add-in kit and code generator. All contemporary methodologies for generating pricing curves are supported, including dual-curve construction, OIS, Fed funds futures, basis, cross CCY, and modeling of forward time intervals based on FOMC dates. Users may employ multiple interpolation methods for different segments of a given curve.

Supported instruments also include: U.S. and emerging market cash and OTC derivatives; bond futures and options; callable, convertible, amortizing and multistep bonds; cross currency and basis swaps; corporate and sovereign issuances; agencies; FRNs; inflation-linked bonds; OIS and Fed fund based instruments; FRAs; and FX instruments.

Suite, LLC

One Grand Central Place
60 East 42nd Street, Suite 2218
New York, NY 10165
UNITED STATES
Tel: 212-485-3200
https://www.suitellc.com

Required Products

Platforms

  • Linux
  • Macintosh
  • Windows

Support

  • Consulting
  • E-mail
  • Telephone

Product Type

  • Data Analysis Tools

Tasks

  • Data Analysis and Statistics
  • Desktop, Web and Enterprise Deployment
  • Computational Finance
  • Real-Time Systems

Industries

  • Asset Management
  • Broker Dealer
  • Financial Services