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ARTSchoolCalc - the ARTSchool Calculator

 

ARTSchoolCalc  v 1.0 Released Dec 29/02 

ARTSchoolCalc  is a FREE full Windows software package for ARTSchool clients.  It is a collection of simple "calculators" to support  ARTSchool seminars.  The software is intended for EDUCATIONAL purpose and is necessarily an oversimplification of the real world.  The current version (version 1.0) includes:

 

OPTIC: A simple (exotic) Options Portfolio Trade Idea Comparison calculator that also illustrates basic risk/return issues and permits various assumptions about forward prices and their probabilities - see also  A Trader's Guide to Portfolio Risk/Return Optimisation

MVO HartQEF.jpg (162005 bytes) QEF: A simple mean-variance portfolio allocation optimiser intended to illustrate the salient features of Efficient Frontier and Securities Market Line analysis - see also  A Trader's Guide to Portfolio Risk/Return Optimisation.  You may find the related ARTicles: An Efficient Frontier Primer , and Optimisation and P&L - Part 1 interesting reading as well.

 

Coming soon, ARTSchoolCalc Version 2.0  to include also:

 

NLD SPX1.jpg (284178 bytes) FracDim: A simple calculator for estimating fractal (Information, Capacity, and Correlation) dimension.  You may also wish to see the ARTicles in ARTicle: Chaos and Predictability in Finance Parts 1 through 3, as well as ARBLab results for Holding Period Analysis of Fractal adjusted options trading

FDX (this component has restricted distribution): A simplified version of one of ART's Finite Difference (FD) applications permitting multiple assets to be valued and assessed for risk.  This FREE version is restricted in a number of ways, but does permit explicit and implicit calculations with up-streaming, non-uniform grids, non-linear factors (e.g. transactions costs), term-structure effects, etc.  For example, use FD to value a Convertible Bond with the bond component following a term-structure model, and the equity component following a market convention model.  This component is also used in the ARTSchool Seminar: A Trader's Guide to PDE Methods .

F-Ana 1.jpg (213520 bytes) FuncU (Function Utility): A simplified version of one of ART's function/formula analysers, permitting users to enter formulas in a natural near "English language" format to produce data series and graphics.  For example, create data with different probability distributions, compare options payouts with different distributions, compare Geometric Brownian Motion to Arithmetic Brownian Motion, etc etc,

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Last modified: July 25, 2011