THE
PROBLEM
Banking spans a wide variety of responsibilities and services. One
group may be involved in Checking and Savings along with Asset Management,
while another is focusing on Capital Markets or Debt Issuance. One
of the largest banks in the U.S. has been using the IMSL C Numerical Library from Visual Numerics for over 8 years to build complex models.
The research and analytics group using IMSL is responsible for quantitative
analysis for the investment banking division. This group, one of
the largest of its kind within the organization, focuses on building
sophisticated mathematical and statistical models for the analysis
of interest rates, risk management, trading and optimization problems,
and is involved in solving many challenging quantitative problems
across the division.
THE SOLUTION
Although the bank has used the IMSL Libraries for many years, quantitative
models are evolving and becoming more complex. Like many banks of
this type, researchers have to build onto existing models to remain
competitive and build new ones to keep up with the demands made
by their analysts. For this large bank, the IMSL C Numerical Library is an integral part
of the evolution of its code and is now extremely integrated into
their work. The IMSL C Numerical Library has served the bank well by being able to grow with
the complex needs of the banks analysts.
This research and analytics group within the bank builds its own
code as well as using the IMSL Libraries. However, over the years,
the developers have discovered that it is much more advantageous
to use the existing IMSL C Numerical Library so that the programmers can work
on the 
mathematical
or statistical problems at hand rather than spend time building
new and maintaining existing code to meet the ever-changing needs
of the bank’s analysts.
When absolutely necessary, this group builds its own code but the
developers have found that it is much faster and easier to use IMSL.
It is very reliable, fully tested and maintained and has found great
stability over the past 30 years.
“We have never run into a single bug using IMSL,” said
a bank Principal. “Long ago we built an optimization routine
that we replaced with one from IMSL. Now it runs faster and to completion
every time. This reliability is why our researchers and analysts
have come to trust IMSL in their work.”
Currently, the IMSL Libraries are a core component to at least
four trading systems in the bank. Most numbers computed by these
systems goes through the C++ computational engine and hence, often
contain IMSL calls.
RETURN
ON INVESTMENT
A Principal at the bank describes the benefits of using the IMSL C Numerical Library in their
work by saying, “The Licensing fee covers two man months of
time per year. It would cost me a lot more to hire the people I
would need to build the code and that doesn’t even touch on
the cost to maintain that code. Using the IMSL Libraries saves our
bank a huge amount of time and money.”
Moving forward, this research and analytics
group would like to share the IMSL Libraries across other business
units within the bank such as risk control, equities, mortgages,
commodities, and emerging markets. They believe that doing so will
increase productivity by enabling other areas of the organization
to re-use the code and will centralize this group as the main provider
of quantitative analysis to the bank at large.
This research and analytics group is committed
to continuing the use of the IMSL C Library and has discovered what
an integral piece it is to the work they do. One group Principal
adds, “Using rigorously tested IMSL algorithms from Visual
Numerics is clearly better than developing our own. Developer’s
time is extremely expensive in comparison to the cost of the libraries.”
