Wall Street Systems offers rates module

Wall Street Systems has released an interest rate derivatives (IRD) module, which supports traditional analytic models as well as multiple-term structure models such as Black-Derman-Toy, Hull-White and Black-Karasinksi.

New models can be added to the module, both in the pricing and risk management subsystems, without the need for further code changes, which allows Wall Street Systems to deliver comprehensive and consistent valuations across the module.

A distributed parallel processing engine increases performance for large books and complex trades, the company claimed.

Discount curve, cap volatility surface, swaption volatility surface and credit spread term structure analysis is also available. The IRD module is interoperable with Excel and XML, and trades can be exported for use in other systems.

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