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A Trader’s Guide to Options:

Volume 1 – Products, Pricing, & Structuring

Software

Available at the ARTShop

(1,437   colour pages, much software, e-Book & soft cover)

 

See also Table of Contents, and Index.

 

Calculators and Spreadsheets

Read Me
C8 Vanilla BSM Call Put PCP (Put-Call Parity)
C8 Simple Opt Calc
C9 Vanilla Greeks etc
C10 Simple Hedge
C10 LP-QP (Linear and Quadratic optimised rebalance)
C15 Swaption CSpread (swaption call-spread)
C15 FX Strip
C15 Oil Put
C15 ED RCSpread (Eurodollar futures options ratio call-spread)
C17 YSpreadOpt (Yield spread/curve/slope option)
C17 CBs (Convertible Bonds)
C19 CumNorm
C19 Basic Tree (binomial, European and American)
C19 Basic Finite Difference BSM Option
C20 Hist Vol
C20 Hist Vol Abs
C20 CrossCor
C20 ReturnMap
C20 VolCone
C20 TBond ImpVol Histogram (Treasury Bond Implied Volatility distribution)
C22 BS Plain Dlta PaR MCX (PaR forward testing simulator, requires Pr/rO (r) XL Lite V2, see below)
PortAna ART 1 - SRX (portfolio position analysis/scenario analysis)

 

Function/Library (most including VBA source code)

 

Vanilla Options:  European and American, and all usual Greeks, and implied vols, plus an assortment of supporting functions for IR rate conversion, annutisation, both univariate and bivariate cumulative normal distributions, etc.

 

Function TG2_OptV1_IRP_FrwrdFX()
Function TG2BlackScholes()
Function TG2_Opt_Simple2Cont()
Function TG2_Opt_PyramidRank_1()
Function TG2BlackScholesResNames()
Function TG2FCumNorm()
Function TG2CumBiNorm()
Function TG2CumNorm()
Function TG2DensityNorm()
Function TG2MertonIVol()
Function TG2_OptV1_IRAnnutizeFactor()

 

Historical Vols:  Selection of Close, HLC, OHLC historical volatility functions

 

Function TG2_OptV1_HistVol_C()
Function TG2_OptV1_HistVol_HL()
Function TG2_OptV1_HistVol_HLC()
Function TG2_OptV1_HistVol_OHLC_S()
Function TG2_OptV1_HistVol_OHLC_N()

 

Various other supporting and intrinsic functions.

 

 

Analytics Packages

 

PosAna V2:  Position valuation/risk profile package for small mixed/options positions.

 

 

 

Pr/rO(r) XL Lite (Educational) Version 2:  A restricted version of the commercial version of ART's PaR holding period optimal strategy analysis package.

 

 

 

 

 

ART's Mathematica (r) Vanilla & Exotics Options (Live) Notebook

 

 

 

 

 

 

Available at the ARTShop

(1,437   colour pages, much software, e-Book & soft cover)

 

 

See the entire TG2 Series

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Last modified: July 25, 2011