Current Version: Beta(2) - mostly finished
pre-release, requires finalising the "Animation" features, documentation,
and final user-interface "niceties". Contact
ARTWare@Arbitrage-Trading.com for additional information.
Available at the
is a very powerful/sophisticated scenario analysis and trading/structuring
decision making tool. Built on a completely general 7-dimensional
analytics/visualisation package, it is packaged inside a "trader
designed/built" user interface with special considerations for trading,
structuring, and risk management for single instruments or entire
portfolios. 7-dimensionalitiy means you may set up-to seven different
"valuation/risk factors" for simultaneous scenario analyses.
example, suppose you have a position that is long an equity option and short
a bond option. Now, you wish to assess the profitability and/or risk
properties of this position for varying scenarios, say, in both underlying
prices, in vols, in time to expiration, in funding rates, etc. In
addition, all of the scenarios will include both valuation results (e.g. P&L
etc.) as well as risk measures (e.g. all the "Greeks", etc.). The
image to right (click to enlarge) shows the main input dialogue screen, and
one of the "layers" of the results in the grid at the bottom.
image to the right (click to enlarge) shows one of the many visualisation
features. This image is the position Vega results for a 4-D
simulation, where the x- and y-axis along the bottom, are the underlying
prices, the multiple surfaces are variations in volatility, and the
colouring is the result of varying funding rate.
This 4-D graphics application allow much direct
interaction such "natural rotation" (just click and drag), immediate
indication of the surface values based on cursor position, and much more.
6-dimensional simulation of the same position is illustrated to the right
(click to enlarge), here each individual plot is a 4-D image, while the rows
are variations in a 5th market factor dimension (here, equity funding rate),
while the columns are variations in a 6th market factor dimension (here,
bond funding rate).
Double clicking any of the individual plots brings
that image into the 4-D machinery from above for deeper analysis of that
particular combination of scenarios.
The 7th dimension is provided with "Animation".
The package can easily create portfolios (just click
on the instrument types, and will automatically create portfolio entries
with all the parameters/settings etc). These can be composed of most
"usual" instruments such as options, exotics, most underlyings, credit
derivatives, and some structured products. Moreover, the
pricing/valuation analytics include multiple choices for "models" and other
real world features.
The Advanced version also includes much
additional controls and features, such as Trade Idea Generation, etc.
is available as complete stand alone Windows®
application, as a spreadsheet Add-In (e.g. Excel®) , and of course it
is included as one of many sophisticated packages with our flagship
period risk-adjusted P&L strategy optimising dealing/portfolio system.
It is also available as a "Developer's Kit" with source code and
valuation/risk library to allow you build/modify as you see fit.
Click here for a
comparison of features
Click here for ARTWare Home
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is also included as part of the ARTPr/rO