Suite LLC’s ALib enhancements make back-testing easier and accelerate build time

23 March 2021

Suite LLC, vendor of financial analytics for derivatives pricing and risk management releases upgrade to ALib, a leading quantitative analytics library.

Version 3.26 continues the roll out of Suite’s object and convention framework and further enriches its Python interface. The enhancements are fully backward-compatible and interoperable with spreadsheets and applications built using older ALib functions.

“Clients have been asking how we can help with their back-testing needs so we’ve added a series of new functions to make it as easy as possible," says James Baker, ALib product manager. "Those same tools also make managing a live portfolio easier.”

“The design provides new levels of transparency by enabling clients to quickly drill into the details of our calculations," says Dr Gene Schupak, suite partner and head of quantitative development. "We’ve also made things simpler - an entire Alib spreadsheet can be instantiated in three cells loaded from file - one containing all market conventions, one containing all rate reset history, and one containing all current curves.

"These three objects can be passed into ALib functions with the net result being that the rest of the spreadsheet need know nothing about curves, history or conventions. This ensures that a spreadsheet built for one market is both internally consistent and inherently portable to another market.”

Suite LLC, established in 2001, is an independent New York 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.

Become a bobsguide member to access the following

1. Unrestricted access to bobsguide
2. Send a proposal request
3. Insights delivered daily to your inbox
4. Career development