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ID: 22249, WebCab Options and Futures v2.5 (J2EE Edition)
Price option and futures contracts using Monte Carlo and Finite Difference techniques. General MC pricing framework: wide range of contracts, price, interest and vol models.
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For JBuilder, Version 6.0
to 12.0
26 downloads
Copyright: All rights reserved
Size: 49,736,542 bytes
Updated on Thu, 25 Aug 2005 13:13:27 GMT
Originally uploaded on Wed, 25 Aug 2004 10:38:28 GMT
SHA1 Hash: 55C341CF937A4461799C4831ACE1F09D1A75CE8C
MD5 Hash: 0E83B128775E3AB51A4329BE94838584
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| Description
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Offers quantitative and risk management techniques for a wide range of option and futures contracts. We apply the Black-Scholes-Merton Options pricing model to European, Asian, American, Lookback, Bermuda and Binary Options using Analytic, Monte Carlo and Finite Difference techniques. Models of implied and historical volatility along with futures account management and market risk monitoring are also included.
Product Details
The WebCab Exotic Options module implements the following methods and procedures:
* Types of Options - Within this module we show explicitly how-to and offer practical advice on the valuation of Asian, American (single and multi-asset), Lookback, Bermuda, European (single and multi asset) and binary options using the Monty Carlo and Finite Difference techniques.
* Finite Difference Methods - powerful method for finding solutions of the Black-Scholes Equations
o Single Asset Options - We provide an explicit and fully implicit algorithms including a framework in which to measure stability issues under differing scenarios.
o Crank-Nicholson - is a fast and stable method for evaluating single asset option contracts
o Multi-Asset - Implement a general multidimensional finite-difference algorithm
o American, Bermuda Options Modification - we apply the `Successive Over-relaxation' technique in order to value American and Bermuda options
o Asian and Lookback - examples of how strongly path dependent options can be evaluated using Finite Difference methods is given
* Monte Carlo - can be effectively applied to value a large range of option contracts
o Flow implementation - including generation of normal variables and the simulation of the random walk and corresponding cash flows ensures that our implementation of this technique can be applied to value almost any option contract
o Options on many underlying assets - Generate correlation random variable using Cholesky factorization in order to value options contract of European type which depend on many underlying assets
o Control Structure - the user has full control over the number of simulations and/or the required precision
The WebCab Options module offers the following functionality:
* European and Binary Options - The (Analytic) Black-Scholes model is fully implemented for European and Binary Options on stocks, currencies and indexes.
* `The Greeks' - We offer methods for the evaluation of `the Greeks' (delta, gamma, rho, theta, vega) for European options on stocks, indexes and currencies according to the Black-Scholes model.
* Volatility Estimates - the volatility may to estimated directly from historical values or from one of the following models:
o ARCH - Autoregressive Conditional Heteroscedasticity model
o EWMA - Exponentially Weighted Moving Average model
o GARCH(1,1) - Generalized Autoregressive Heteroscedasticity model
* Implied Volatility - Calculates the implied volatility for dividend and non-dividend paying stocks from the Black-Scholes formulae
* Payoff Functions - Pay off functions at expiry for European and Binary Options are implemented
* Put - Call Parity relations
o Put - call parity relations for European options on an asset with no yield or a continuous yield
o Put - call parity Relations for Binary options on an asset with no yield
o Implied risk-free interest - the implied risk free interest rate is calculated when either the prices of put/call European or put/pull Binary option is known
* Trading Strategies - the following pay-off functions for the following option trading strategies are implemented
o Spread Option Strategies - Bull Spreads, Bear Spreads and Butterfly Spreads
o Combination Option Strategies - Straddles and Strangles
WebCab Futures module implements the following methods and procedures:
* Pricing on investment and consumption assets - Pricing of futures contracts on stocks, bonds, indexes, currencies and commodities
o Futures on stocks, bonds, indexes - evaluation for assets with or without income, effective gearing
o Futures on commodities - cost of carry, utility yield
* Hedging - Portfolio hedging using index futures, optimal hedge ratio
o Portfolio Hedging - delta hedge a portfolio using the beta coefficient
o Optimal Hedge Ratio - the optimal ratio of the size of the position taken in futures contracts and the size of the exposure
* Future Account management - margin, daily P&L,total equity, excess margin
* Interest calculations - return, compound interest, compounding periods conversion
The Risk Management functionality included within this Component:
* Delta Limit Monitoring - For a portfolio (which may include Futures, Options, etc) the delta limit can be assigned and checked
* Scenario Analysis - Allows for an asset or portfolio to be stressed and for the resulting behavior to be analyzed. We offer methods which stress the asset in any one or two of the underlying market variables.
This product also contains the following features:
* GUI Bundle - we bundle a suite of graphical user interface JavaBean components (with 1, 2, 4 or site-wide license) allowing the developer to plug-in a wide range of GUI functionality (including charts/graphs) into their client applications
* EAR Files - we provide individual customized EAR files for the most widely used application servers including IBM WebSphere 4.0/5.0, BEA WebLogic 6.1/7.0, Oracle 9iAS, Sun ONE AppServer 7, Ironflare Orion 1.5.2/1.6.0, Borland AppServer 5.0, Sybase EAServer 3.6 and JBoss 2.4.4/3.0.0
* Self-Deploy - the relevant servers EAR file will be self-deployed onto supported local application servers during the installation of the self-install package. The supported application servers include IBM WebSphere 4.0/5.0, BEA WebLogic 6.1/7.0, Oracle 9iAS, Borland AppServer 5.0, Ironflare Orion 1.5.2/1.6.0 and JBoss 2.4.4/3.0.0
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