Xenomorph Upgrades EDM+ with QuantLib Pricing
EDM+ will provide improved access to QuantLib pricing and centralized control over models.
Data management solutions provider Xenomorph is boosting its enterprise data management platform’s price modeling function by integrating the QuantLib open-source library of pricing models into EDM+.
QuantLib, an open-source software framework for quantitative finance, offers pricing models and hedging tools for modeling, trading, and risk management. EDM+ users can apply QuantLib pricing engines with any integrated interfaces such as Microsoft Excel, Python, .NET, Tableau, Power BI, MatLab or R.
“By integrating Quantlib models into EDM+, it means we now have access to pricing models that are free to use and not restricted by commercial licensing terms and conditions,” says Xenomorph’s CEO, Ron Zeghibe. “That means ready access to models for pricing OTC-traded instruments, including various types of bonds, as well as a very wide range of derivatives.”
The integration provides users with centralized controls of models, wrapping QuantLib C++ code using the EDM+ Analytics SDK, a move that “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,” says Mark Woodgate, consultancy director at Xenomorph.
Woodgate adds that Xenomorph is considering integrating Open Source Risk Engine, an evolution of QuantLib, into EDM+ in the future.
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