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ADVANCED ANALYTICS LIBRARY™

Product Highlights
ADVANCED ANALYTICS LIBRARY(AAL) offers a complete pricing function and term structure model library in C/C++ or MS VisualBasic, which can be called from other user defined C/C++ functions, or MSExcel spread sheet. It is object oriented and user friendly, and can be integrated with other software products of AAI, such as ASL or ACE, achieving unprecedented calculation accuracy and speed. The library as a whole, and individual pricing functions can be integrated easily into user's proprietary systems. The library may be licensed as a whole or in part. AAI provides analytics consulting service helping users customize and calibrate these models to fit their specific requirements, and ensure seamless integration with their daily production system or risk management system.

Fixed Income Products and Derivatives:

  • Treasury securities
  • Agency securities (callable bonds)
  • Mortgage-backed securities
    • PASS-throughs
    • ARM's
    • IO's/PO's
    • CMO's
  • Corporate bonds
  • Municipal securities
  • Inflation indexed bonds
  • Brady bonds
  • Fras
  • Futures
  • Futures Options (including Mid-curve options)
  • Swaps (including amortizing, zero coupon swaps)
  • Basis swaps (Libor, CMS, CMT, CP, PRIME)
  • Bond options
  • Swaptions (amortizing or zero coupon)
  • Caps/Floors

Exotic Options and Swaps:

  • American options
  • Burmudan options
  • Atlantic options
  • Asian options
  • Binary options
  • Barrier options
    • knock in /out on put /call, with one index or two indices
    • barrier on prices or rates
    • Double barrier options
  • Power options
  • Rachet or periodic caps/floors
  • Quanto options
  • Rainbow options
  • Basket options
  • Compounded options (Call/Put on Call/Put)
  • Maximum options
  • Product options
  • Exchange options
  • Best-of options (Chooser Options)
  • Out perform options
  • Lookback options
  • Indexed Amortizing Swaps
  • Inflation indexed swaps
  • Libor-in-arrear swaps
  • Quanto swaps

Term structures of interest rates:

  • Treasury Yield Curve
  • LIBOR Yield Curve
  • Volatility Skew Model
  • Ho-Lee Model
  • Black-Derman-Toy Model
  • Black-Karasinski Model
  • Hull-White Model
  • Heath-Jarrow-Morton Model
  • Market Model

Equity Derivatives:

  • American options
  • Burmudan options
  • Atlantic options
  • Asian options
  • Binary options
  • Barrier options (knock in /out on put /call, with one index or two indices)
  • Double barrier options
  • Quanto options
  • Rainbow options
  • Basket options
  • Compounded options (Call/Put on Call/Put)
  • Maximum options
  • Product options
  • Exchange options
  • Best-of options (Chooser Options)
  • Out perform options
  • Lookback options
  • Caps and Floors

Commodity and Foreign Exchange Derivatives:

  • American options
  • Burmudan options
  • Atlantic options
  • Asian options
  • Binary options
  • Barrier options (knock in /out on put /call, with one index or two indices)
  • Double barrier options
  • Rachet or periodic caps/floors
  • Quanto options
  • Rainbow options
  • Basket options
  • Compounded options (Call/Put on Call/Put)
  • Maximum options
  • Product options
  • Exchange options
  • Best-of options (Chooser Options)
  • Out perform options
  • Lookback options

Credit Derivatives:

  • Diff Options
  • Rainbow options
  • Basket options
  • Basket swaptions

ACE for Risk Management

ACE for Pricing and Trading

Advanced Analytics, Inc., AAI, the AAI logo, ACE, AAL, are registered trademarks or trademarks of Advanced Analytics, Inc., in the United States and worldwide. Copyright(C)1996-2000 Advanced Analytics, Inc. All rights reserved.