The Deutsche Bank Global Markets Equity analytics library ('GME Analytics') is a software package developed since 1995 by Quantitative Products Analytics (QPA), for the pricing and hedging of equity-linked and cross-asset-class derivatives. Primarily used by the Global Markets Equity division, it is also provided to various other businesses within Deutsche Bank.

All current development is in areas of modelling beyond classical Black-Scholes: including such areas as stochastic short-rate models with equity local volatility, mean-reverting commodity hybrid models, stochastic volatility and jump models, correlation skew modelling and credit hybrid modelling. The numerical methods required for derivative valuation in single- and multi-factor models are also a field of active development.

Recent product classes of interest include options on CPPI, derivatives on volatility, variance and correlation, and equity-hybrid product classes in which the non-equity risk includes interest rates, credit, commodities or mixtures of them all. As well as these wide classes of structured derivatives, the analytics suite supports flow business, correlation trading, single-stock, index and basket derivatives.

Technically, the core GME Analytics is implemented by QPA in C++ and is available for Windows and Linux platforms. It incorporates over 200 user-accessible routines for pricing and hedging calculations, covering the full range of derivative product types and valuation algorithms. QPA also wraps the core analytics library as an Excel Add-In, which itself provides several hundred more user-callable routines appropriate to the spreadsheet environment but not suitable for inclusion in the core library. For the Excel GME Analytics, there is a comprehensive User Guide on the DB intranet.

Teams withing the Group Technology and Operations division have integrated the core library into around 10 client applications for businesses within Deutsche Bank's Global Markets division.