News & Insights

Algorithmica is pleased to announce some new and important customer cases for 2019 and beginning of 2020.

As of Quantlab version 3.1.2042, the code editor and debugger is brand new.

For Python users calling Qlang libraries, a suite of new export functions enable an even richer user experience from Python. Runs using Quantlab version 3.1.2024 and thereafter.

With the 3.6 release of the ARMS platform, the module for Interest Rate Risk in the Banking Book (IRRBB) will be available to current and new clients.

As both AIF:s and UCIT:s funds now must report a liquidity ladder on a quarterly basis to the national competent authority, a number of problems needs to be addressed.

The old version of the PnL attribution test has rightfully been criticised for being overly punitive.

As of today, Quantlab functions and classes can be run from Python with function libraries such as the instrument pricing and curve fitting modules.

Phase one and two of the new initial margin rules for non-cleared derivatives transactions has been finalised and the global players are live.

This Master thesis investigates the use of Artificial Neural Networks (ANNs)for calculating present values, Value-at-Risk and Expected Shortfall of options