London, New York, Cape Town– 9th of November, 2018 – Xenomorph has integrated the QuantLib open source library of pricing models into its EDM+ enterprise data management platform. The new development means EDM+ users can call QuantLib pricing engines from any of the user interfaces integrated with EDM+, including Microsoft Excel, programming APIs like Python, .NET, BI platforms like Tableau and Power BI, or mathematical environments like Matlab and R.
While making it easier to access QuantLib pricing models, the integration also enables centralised control over those models by wrapping QuantLib C++ code using the EDM+ Analytics SDK. This mitigates model risk by ensuring all inputs and outputs of QuantLib engines are validated, cleansed and recorded via a full audit trail of data management processes.
“We found an increasing number of our clients asking for the QuantLib pricing engines to be integrated into EDM+. Some of those clients are using aspects of the libraries in production and benefiting from the obvious cost benefits of open source solutions. Others have been looking to use the QuantLib models as an independent benchmark to validate their own proprietary pricing models or those from third parties,” says Ron Zeghibe, CEO Xenomorph.
“Open source initiatives like QuantLib are becoming increasingly relevant to our industry, not only to support pricing, but also evolving into risk management functions through projects like the Open Source Risk Engine. Irrespective of the models that our clients choose to deploy in production, we believe it is paramount that those models are supported by an underlying data management framework that ensures data accuracy and integrity while also reducing operational risk,” says Mark Woodgate, Consultancy Director, Xenomorph.
Xenomorph provides trusted data management solutions to many of the world’s leading financial institutions. The company has more than two decades’ experience managing large volumes of complex data and analytics. It has consistently reinvested in its technology, culminating in the latest generation enterprise data management platform EDM+.
Our software is built to be future-proof. With our flexible data model, easily configurable workflow engine, integrated feature updates and commitment to backward compatibility – EDM+ empowers you to address any future requirement. It can be operated by business users without any prior programming expertise, which means it offers a truly agile and cost effective solution to evolving business, regulatory and technology trends. The platform also excels at managing model-derived data, enabling firms to ensure inputs and outputs of business critical models are always validated and kept in sync.
About QuantLib and Open Source Risk
The QuantLib project is aimed at providing a comprehensive software framework for quantitative finance, delivered as a free/open-source library for modeling, trading, and risk management. The QuantLib library includes pricing engines for deriving real-time valuations for a range of OTC instruments, including various types of bonds, as well as derivatives including Vanilla options, Asian options, Barrier options, Basket options, Cap/floor structures, Cliquet options, Forward options, Quanto options and Swaptions. In addition, the library also provides additional quantitative toolsets to incorporate finite-differences, lattice methods, optimizers, Monte Carlo simulations, short-rate modelling, stochastic processes and term structures into models.
The Open Source Risk Engine is an initiative to extend QuantLib by adding simulation models, instruments, contemporary risk analytics and value adjustments (for example XVA, VaR and Expected Shortfall).
For more information see quantlib.org and opensourcerisk.org