Ilog improves CPlex for asset managers

PARIS--France-based software component supplier Ilog has introduced a new version of Ilog CPlex 8.0, its flagship optimization product, with what the firm calls 'new asset management features.'

CPlex can match similarly valued stocks and automatic trade stocks outside the market by using an application called Trade Crossing. London-based Barclays Bank has already implemented Ilog CPlex and says it has saved roughly $300 million in transaction costs for its clients in 2001.

New features include a mixed-integer quadratic programming capability, which helps portfolio managers build easier-to-manage and higher-quality portfolios. Before, optimization of a portfolio required a larger number of lower- and higher-quality stocks than desired, to achieve balance. Now, managers can reduce the number of stocks to create a more focused portfolio, which is likely to affect performance.

The product is an embeddable standards-based software component, which supports Java and C++ applications, making it easy to integrate with legacy systems, and as a result can be quickly deployed.

CPlex 8.0 is 40% faster than its previous version. This could prove beneficial for money managers seeking straight-through processing solutions and aiming at shortening the trade settlement cycle.

Other features include the ability to customize the solution's 'search strategy' for quick problem resolutions and concurrent optimization, allowing the software to solve problems by simultaneously using different methods. It also includes a Visual Basic interface to simplify integration with applications using the language.