NEW YORK - Global Advanced Technology has developed an interest rate path generator that can be used to value securities in different interest rate scenarios.
GAT executives say the generator is more accurate because it uses linear path space, a method of reducing a calculation's path, so the calculation can be performed in a reasonable time and with a reasonable degree of accuracy.
Typically, interest rate generators are embedded in a larger software product, which sometimes makes them difficult to use. However, this interest rate generator stands on its own and is "pulled out the way an add function is pulled out of a calculator," said Marcy Joseph, director of business development at GAT.
The product can be used by asset managers, actuaries and anyone who needs to generate interest rate scenarios.