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.
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.
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
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)".
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
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.)
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.
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.
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).
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.
(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.
and higher Only
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.
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.
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.