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Maravon Analytics Library (MAL) is our proprietary financial quantitative analysis software. MAL is the foundation for all Maravon software applications, including all analytical tools our consultants work within their day-to-day work with our clients.
To capture the specific characteristics and the conventions of each single capital market segment, MAL is built upon seven frameworks. These are:
- FX Framework
- Rates & Fixed Income Framework
- Equities Framework
- Credit Framework
- Inflation Framework
- Commodities Framework
- Portfolio Framework
For each framework MAL provides the following functions:
- Forward Curve or Term-structure Spanning
- Forward Curve or Term-structure Simulation
- Product Modelling
- Product Marking-to-Market incl. Sensitivities
- Product Marking-to-IAS/IFRS incl. Sensitivities
- Market Risk Exposure Analytics
- Credit Risk Potential Future Exposure
- IAS/IFRS Accounting Treatment for all transactions that come along with financial instruments
- Mark-to-Market Risk Measurement
- Mark-to-IAS/IFRS Risk Measurement
In addition, MAL contains framework-independent functions, including such as
- Numeric type definitions
- Date and time conventions (incl. international holiday calendars) and calculations
- Numerical algorithms for analysis, linear algebra, stochastic and optimisation
- Statistics and econometrics
- Visual presentation (e.g. heat maps, overlay charts, tornado charts)
- FpML interfaces
- ISDA definitions
- Utilities
MAL is developed in C++/Objective-C. It is tuned both, to run on normal CPUs and to make use of graphic cards' GPU power for obtaining high performance speed.
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MARAVON ANALYTICS
LIBRARY (MAL)
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