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PortfolioScience adds interest rate swaps coverage to RiskAPI

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PortfolioScience, a provider of on-demand risk management systems for hedge funds and hedge fund service providers, has added interest rate swaps (IRS) coverage to RiskAPI, the company’s API-based risk analysis service.

The extended coverage allows hedge funds, fund service providers, and enterprise systems interfacing with RiskAPI to measure the risk and value multi-currency interest rate swaps across portfolios and individual holdings.
"Coverage of interest rate swaps is an important milestone in the evolution of the RiskAPI system," says Ittai Korin, founder and president of PortfolioScience. "Having the ability to rapidly generate exposure and valuation analytics for IRS positions is yet another that way that PortfolioScience adds value to hedge funds, portfolio managers, and risk analysts."
As with other currently supported markets and asset classes, analytics for IRS contracts were implemented under the company’s high-performance framework such that complex calculations like multi-model Value at Risk (VaR) and stress-testing execute in a near-instantaneous fashion.
"Our clients expect the RiskAPI system to handle sophisticated calculations on thousands of positions instantly. It was important for us to deliver the same performance for IRS positions, even though the valuation of such complex instruments is far more computationally intensive," says Korin.
The RiskAPI system is a hosted, software-as-a-service solution that includes all data, computing power, and analytics required to generate a whole spectrum of risk analysis calculation results. The service is delivered through a fully dynamic remote Application Programming Interface (API) that is available via the Excel, .Net, and Java environments. As with other supported asset classes and global markets, Interest Rate Swap coverage is currently available via PortfolioScience’s RiskAPI Add-In and RiskAPI Enterprise services.

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