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ARTLib XL - CalcPak

 

Available at the ARTShop

The ARTLib XL - CalcPak: a collection of calculators, position keeping analysis, trade/hedging analysis and other tools to assist with trade idea generation, cross-market structuring, and many other useful resources.

Some of the key elements are described below, with additional features in the Advanced Module, and the Developer's KitCalcPak Lite contains a subset consistent with the "Lite" feature/function level and is available separately (e.g. for those looking for just the "essentials" in combination with ARTLib XL Lite.  Of course, ART would be happy to create custom elements to suit your specifications, please contact ARTWare@Arbitrage-Trading.com.

 

Version 1.2 expected for delivery early 2013.  The key new elements are:

OIS Curve Generator as part of CurveMan.

Extended PortAna analytics for improved position keeping/trading analysis.

A limited version of the Pr/rO XL-Lite optimal risk-adjusted P&L holding period strategy analysis package.

Key Elements:

Valuation/RiskCalcs:  the package includes "calculators" for all the major instruments types.  These calculators tie in to the curve/market/info system in the package to automate the process.  All you need to do is specify the currency/index and type of deal/contract details, and the calculators collect all the related information.  If you trade "standard" instruments, then most of the contract information is already in the system (e.g. day count, frequency, etc).  You can over-ride this information if you like, or create your "user defined" elements to automate your own custom trades.

The calculators also include various "sanity checks" to ensure date consistency, and other important elements.

Higher versions of the calculators don't even require a spreadsheet, and also link to portfolio and deal databases for ticketing, reviewing, analysing new or existing positions/trades.

 

PortAna:  position keeping and P&L/risk scenario analyses, including support for options and futures.  The default arrangement permits multiple underlying instruments, and an almost unlimited number of derivatives.  The extra analytics are restricted to 2-factor analysis in the Lite version.

 

CurveMan:  The Curve Management element provides a set of Market Input screens and custom machinery for the creation and management/analysis of curves.  All you need to do is enter market information, and select the types of curves you require (Swap/IRR, spot zero's, almost any kind of forwards/forward-forwards, etc).  The results are stored both internally and directly available to you, or just use the "auto insert" tool to reference the automatically generated "curve name(s)".

The system can track curves in as many different currencies as you like (real or imaginary), and is capable of managing a large number of "indices" within each currency (e.g. LIBOR, Gov/Treasury, Prime, Mortgage, credit, etc,).  The package comes with a number of pre-created currencies, but it is easy to add your own.

The full package extends to almost any curve/surface creation/analyses, including FX, vol, credit, and "structured" curves.

 

The package includes a database of market information/parameters, so in most cases you don't even need to know the many fiddly details (e.g. interest basis/day count, calendar basis, frequency, etc.)

 

IRForwardMatrix:  creates a table of forward rates  for a user controllable set of forward terms against user controllable set of maturities.  Typically, this is a table of forward rates for, say, swaps showing forward rates for 3mx1y, 2yx8y, etc for the user selected mix of forward terms vs. underlying terms.

 

IRPMatrix:  creates a table to analyze the cross-values between deposit rates and FX rates and forward rates for a user controllable set of currency pairs.  This permits both the search for IRP arbitrage opportunities, and also trading/deposit/investment trade idea generation.

 

Basket/IndexFuturesArb:  a calculator that permits the analysis of Index-Futures Arbitrage accounting for IR curves, and replicating user defined baskets (c.f. the entire underlying Index-basket).

 

Cheap/Dear Analysis (basic):  provides a cheap/dear assessment calculator to consider whether a particular trade is cheap/deal relative to recent history.  The Advanced Module contains a "full" Cheap/Dear analysis package that may be used for a wide range of instrument types/asset classes.

 

BucketReport (basic):  provides the automated machinery for "bucket risk" reporting.  The Advanced and Portfolio modules include much additional machinery that automate the entire position keeping process and tie into the Reporting mechanism, including BucketReport.

 

Advanced Module and higher Only

Full Ticketing/Valuation/Risk Interface: virtually al instruments may be managed via a "user interface" of "dialogue boxes" ... you may never need to "touch" the spreadsheet again.  These dialogues provide many immediate/advanced features relating to the analysis of instruments and trades, and how they will performs as investments or hedges.

Vol-Cone Analysis: a Cheap/Dear Analysis package for options, assessing various aspects of "relative value" in relation to the term structure of options vs. historically traded options or values.

Surface Cheap/Dear: Cheap/Dear analysis of volatility/price surfaces for "multi-dimensional" options problems (e.g. almost any IR option is at least 2-dimensional in terms of the time to expiration plus the term to maturity).

Structured Products Calc:

Convertible Bond Arb:

... many more to be announced shortly, including arbitrage specific analysis/trading elements.

 

Click here for a comparison of features

Click here for ARTWare Home

Available at the ARTShop

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**Pr/rO  is also included as part of the ARTPr/rO advisory service.

 

 

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Last modified: July 25, 2011