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.

Product and service specifications
Database
• N/A
Language used
• C
• C#
• C++
• Java
• Perl
• Python
• Visual Basic
Operating system
• AIX
• Linux
• Solaris
• Windows 2012
• Windows 7
• Windows XP
• Other
Pricing structure
• Fixed
• Per seat
User interface
• N/A
Tags:
curve bonds risk delta hedge pricing cross currency asset convexity duration gamma cash derivatives

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