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SunGard upgrades Reech Analytics Library

19 November 2008  |  946 views  |  0 Source: SunGard

SunGard has released a new version of its Reech Analytics Library (REAL), a suite of analytics tools for exotic derivatives pricing across multiple asset classes.

REAL version 3.4 includes a number of solution upgrades and enhancements including new models for equity-interest rate hybrids and new calculation of Greeks, measuring sensitivity to volatility and interest rate movements.

The new version delivers a new model for interest rate hybrid instruments, which combine the features of interest rate and equity structured products. Demand for the model has been driven by large banks whose structured products desks are creating these trades for their clients.

REAL version 3.4 offers calculation of Greeks, measuring the sensitivity to volatility and interest rate movements, in its equity and FX libraries for both local and stochastic volatility models. It also provides a wider range of first-order Greeks for equity, FX and interest rate models and enhances SunGard's Reech FastVal solution, the independent valuation service for OTC derivative products, of which REAL is a key component.

Gavin Lee, chief operating officer of SunGard's Reech business, commented: "The launch of REAL 3.4 is the result of a sustained programme of investment and development in SunGard's Reech and FastVal solutions. Investors are increasingly looking for financial products tailored to their specific requirements - and these products often combine exposures to what were previously considered separate markets. Those who design, sell and buy such products need the tools to accurately estimate their value and risk exposures. The continuing development of our analytics tools means that we are able to help ensure that our customers have tools to accurately price and manage the risk of their derivative portfolios."

 

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