Case Study: Major U.S. Bank achieves faster, more reliable quantitative modeling with Rogue Wave Software's IMSL C Library

Major U.S. Bank Builds Sophisticated Analytical Models with the IMSL C Library

Major U.S. Bank’s research and analytics group in the investment banking division faced the challenge of building and maintaining increasingly complex mathematical and statistical models for interest rates, risk management, trading and optimization. To avoid costly and time‑consuming in‑house development, the team adopted the IMSL C Library from Rogue Wave Software to provide a comprehensive, fast and stable set of numerical and statistical algorithms.

Rogue Wave Software’s IMSL C Library was integrated into the bank’s C++ computational engine and became a core component of at least four trading systems, replacing custom routines with rigorously tested code that “runs faster and to completion every time.” The solution delivered clear ROI—the licensing fee equals roughly two man‑months of developer time saved per year—improved reliability (the bank reported no bugs), faster execution, and the potential to extend reuse across other business units.