SunGard enhances its Reech Analytics library with REAL upgraded version 3.4. The product comprises new models for equity-interest rate hybrids and new calculation of Greeks, measuring sensitivity to volatility and interest rate movements.
A new model combines the features of interest rate and equity structured products. 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.
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.
“The launch of REAL 3.4 is the result of a sustained programme of investment and development in SunGard’s Reech and FastVal solutions,” says Gavin Lee, chief operating officer, SunGard’s Reech business. “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.”
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