This software is written/developed by professional traders for
traders, structures, sales, risk management, and "desk/operation"
management. Our senior staff are former heads of trading and
the like from well-known investment banks and similar. Not
only are the functions geared to account the vast minutia of real
world trading, but also include many supporting templates and
facilities that real trading requires. For example, some
add-ins include "swap curve generators", but clearly developed by IT
staff or academics who have never traded a swap, and do not know of
the market convention for curve blending and many other "reality
impact" elements. Moreover, almost no academic package
includes attention to such things as Cheapest-to-Deliver (so even if
they have some curve generator, how do they manage mixed problem of
Govy/Treasure instruments with LIBOR products?).
This package is small subset of the 300,000 or so lines of code in
our proprietary in-house systems, and which has been in use for
many years of trading.
We also have PhD's in mathematics, and we know as much
about stochastic calculus and computational methods (including PDE
methods such as Finite Difference, Finite Element, etc, as well as
simulation methods such as Monte Carlo) as anybody. Crucially,
our own in-house super-sophisticated rebalance/strategy optimisation
trading package and the supporting elements are built for extreme
speed, and immediately available for parallel/Symmetric
Multi-Processing applications. This means our code
executes fast, and is suitable for very large portfolios,
simulations, or just simply very fast for real-time applications.
Our longer term objective is to release "Off-the-shelf" add-in
versions of our
package. This produce permits full simulation of entire
holding periods with any rebalancing strategy as may be required for
hedging, prop trading, or arbitrage. It permits the "optimal"
selection of strategies based on the best risk-adjusted P&L that
most closely suits your objectives and mandate. The
simulation packages require a core valuation/risk package, and the
ARTLib XL - Core
package is the ideal candidate.
You get the
ARTLib XL - Core
as described by following that link
You get templates for real world curves, CTD's, position valuation,
risk reporting etc (with CalcPak).
You get samples of each and every function is working spreadsheets
for live illustration of their usage and workings.
You get ART's support for both technical/software support, as
well as "trading risk" support at a level suitable for you (see here
also ARTWare Support) .
You get copies of the relevant and highly acclaimed
There are various system requirements and other matters that are
elements of the complete agreement, please contact
ARTWare@Arbitrage-Trading.com for full details.