SunGard APT Add-In for MATLAB

Interact with the SunGard APT COM server

Highlights

  • Provides native MATLAB classes and methods, allowing easier interaction with the APT COM server
  • Enables users to interact directly with the APT Factor Databases (APT Risk Models)
  • Enables users to use the APT calculation engine directly from MATLAB
  • Exposes many APT Analytics as native MATLAB methods
  • Enables users to integrate methods seamlessly within their MATLAB code

Description

APT’s calibrated multifactor models provide a best of breed solution for portfolio construction and investment risk reporting. The key features of this solution include:

  • Broad multi-asset class coverage – APT produces a range of country and regional models (with a blend of asset classes) to provide risk forecasts over different time horizons. APT's current global model covers equities (public and private), rates, FX, credit, commodities, real estate, infrastructure, inflation, funds, and indices.
  • Robustness – APT’s statistical factor models capture the maximum amount of variance and covariance across markets. In addition, APT provides a logical approach to risk on an absolute or benchmark-relative basis, for each kind of investment strategy.
  • Flexibility – APT provides a full range of risk measures within a flexible framework for both risk attribution and scenario analysis.
  • Accessibility – Clients can connect with factor models in numerous ways, including interaction through hosted and deployed batch-based report generation tools.

SunGard’s clients use APT to generate customized portfolio risk reports that assist in monitoring, understanding, and managing market risk across a wide range of regions and asset classes.

The APT Add-In for MATLAB provides a simple and effective way to use APT from within MATLAB. Custom MATLAB classes and functions provide access to various APT analytics, such as volatility, tracking error, VaR, and marginal risk.

The product is currently built around four classes:

  • The APT_Parameters class provides a structured data representation for parameters used by the APT COM server
  • The APT_FDB class provides a set of methods allowing MATLAB to interact directly with the APT Risk Models
  • The APT_Analytics class provides a set of methods exposing the APT COM server analytics
  • The APT_Scenario class provides a set of methods enabling users to define custom scenarios programmatically

This product calls the APT COM server where all calculations are performed. Supported versions of the APT COM server are 2013.1.1 onward. This product will be shipped to all SunGard APT clients as part of the APT COM server installer.

SunGard

25 Canada Square
London E14 5LQ
UNITED KINGDOM
Tel: +44-20-8081-3400
[email protected]
http://www.sungard.com

Required Products

Platforms

  • Windows

Support

  • Consulting
  • E-mail
  • On-site assistance
  • System integration
  • Telephone
  • Training

Product Type

  • Data Analysis Tools

Tasks

  • Data Analysis and Statistics
  • MATLAB Programming
  • System Modeling and Simulation

Industries

  • Financial Services