[Company Logo Image]   

We are traders

Arbitrage Research and Trading

 Home News Products Services Research Jobs Forum Matrix7D

 

Matrix7D

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 ARTShop

Matrix7D: 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. 

For 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.

The 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.

A 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.

Matrix7D: 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 Pr/rO holding 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.

 

Contact ARTWare@Arbitrage-Trading.com for additional information.

Click here for a comparison of features

Click here for ARTWare Home

Available at the ARTShop

Tell a Friend

_________________________

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

 

 

Hit Counter

 

Home Up Feedback Search Investor Login Company Profile

Send mail to webmaster@arbitrage-trading.com with questions or comments about this web site.
Copyright Arbitrage Research and Trading Ltd.

The contents of this web are presented by ART for viewing purposes only, and ART makes no warranties as to accuracy.

Last modified: July 25, 2011