SunGard Trading and Risk Systems and Equalt Alternative Asset Management said that two of SunGard’s pricing products would be used by Equalt to price its complex equity correlation products.
SunGard’s Reech Automatic Derivatives Pricer (ADEP) and Reech Analytics Library (REAL) have been chosen by Equalt to assess the price valuations of those complicated transactions, the companies said.
Equalt describes its equity correlation products using Reech ADEP within Excel and then runs Monte Carlo simulations with the help of 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, they said.
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 instantly provide the value and risk management parameters for the product, the companies said. 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.
“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,” said Laurent Grisard, head of structured fund management, at Equalt. “With Reech we can structure and price any new product 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, added, “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 serve the alternative investment industry in this way.”