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ARTSchool Developer's Kit Examples & Calculators

This section provides details of the types of examples,  calculators and ....

Please NOTE: all materials here are intended for educational purposes, and while they have been tested, and in some cases reflect the "real world", please be sure to do due diligence prior to use.  The educational materials here are NOT intended for commercial grade trading and risk management.  For commercial grade trading and risk management resources please contact ART Customer@Arbitrage-Trading.com

Some of the Excel add-ins (VBA and others)

The spreadsheet and related functions are packaged in at two levels, with the particularly specialised and sophisticated calculators being at Level 2

Level 1

Functions

(12) VBA date, and additional PV functions for bonds, futures, funding etc

(40) VBA valuation functions for options and exotic options including both closed from and Monte Carlo code in "source" readable form, including Black-Scholes, Vanilla Puts/Call MC, Barriers MC, Asian MC, Early Exercise MC, and more.

DLL add-in including additional or duplicate functions to those found in the 

Spreadsheets

Valuation & Risk: a large collection of spreadsheets for analysing curve generation (boot strapping, splines, etc), vanilla and exotic options, convertible bonds, etc.

Mathematica

Valuation: Mathematica 4.x "Notebook" for vanilla and exotic options including all of the "usual suspects" barriers, lookback, asians, choosers, etc.  Each with graphical and scenario analysis.

Risk: Mathematica 4.x "Notebook" with a wide range of VaR estimation and analysis tools providing comparison of HVaR and CVaR, with and without CAPM, including historical analysis and VaR verification, as well as methods for assessing impact of drift/volatility effects, and model assumption (log-normal, normal, etc)

 

Level 2

Basic 2-factor Monte Carlo simulator add-in for simulation of entire "sheets", and thus required for portfolio and position calculations, it includes GUI interface and graphical facilities.

Position Simulation Calculators: spreadsheets based on MC simulation for position strategy and holding period risk/return such as:

Convertible bond holding period strategy

Cash Bond bond holding period strategy

Cash Bond/Futures bond holding period strategy

Vanilla options holding period strategy

Digital options holding period strategy

... and more

 

Many Windows and "commercial" applications also available

For example, please see:

ARTSchool Calc

ARTWare

 

 

 

 

 

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Last modified: July 25, 2011