Source: SunGard Trading and Risk Systems
SunGard Trading and Risk Systems, an operating group of SunGard (NYSE: SDS), today announced that Equalt Alternative Asset Management, a subsidiary of French banking group Calyon, has chosen SunGard's Reech Automatic Derivatives Pricer (ADEP) and Reech Analytics Library (REAL) to price its complex equity correlation products.
Equalt describes its equity correlation products using Reech ADEP within Excel. Equalt then runs Monte Carlo simulations using Reech REAL, using market data and other information such as correlations. This provides independent valuations required for comparison with brokers' quotes.
The need for these independent valuations was strongly reaffirmed by regulatory bodies, in the wake of the implementation of the new European UCITS 3 regulation.
Reech ADEP is a proprietary language that is used to describe any financial product, in plain English, from a simple vanilla swap or option to the most complex hybrid structure, and to provide the value and risk management parameters for the product. This helps banks to trade confidently in a range of complex financial products. Reech ADEP is also available to run with Reech FastVal, an ASP solution for independent valuations.
Reech REAL comprises a comprehensive suite of proprietary models. Each model is available individually in XLL or DLL format and covers 1-, 2- and 3-factor models, lattice, PDE and Monte-Carlo supporting interest rate, equity, FX, credit and hybrid products.
Equalt's head of structured fund management said, "We have sophisticated equity correlation products and we were looking for a more flexible system to accommodate new products. We wanted that new system to be easy to run and maintain. With Reech we can structure and price new products in next to no time. This is very powerful and very fast. And, as an Excel-based solution, the implementation and training was very easy indeed."
Christophe Reech, president of SunGard Trading and Risk Systems' Reech operating unit, said, "Equalt needed fast, independent valuations for complex instruments. Reech ADEP and REAL provide this within a familiar Excel front-end. We are pleased to be able to increasingly serve the alternative investment industry in this way."