DETAILS OF ADDITIONAL FUNCTIONALITY
Average Price Options (APOs)—Discrete, continuous, start now, forward start and in-progress averages. Arithmetic averaging. Exotic option models include quantos, implied volatility functions for most exotics and implied correlation functions for multi-asset exotics.
APOs—Arithmetic averaging for forward start, start now and in-progress averages. Also double Asians and basket averages.
APOs—Arithmetic averaging for forward start, start now and in-progress averages. Options on transmission, storage, capacity and fuel arbitrage. Models incorporate mean reversion and truncated distributions in addition to standard Black-Scholes.
Provides two alternative value-at-risk calculation methodologies: variance-covariance VAR and Monte Carlo VAR. Outlook implements VARdelta, Component VAR and VARbeta.
APOs—Arithmetic averaging, risk statistics (delta, gamma, theta, vega, rho and so on) provided for all underlying products in multi-asset options. Basket products containing up to two assets. Double barriers (American, European and digital), compounds, dual strikes and rainbows. VAR functionality (RiskMetrics) includes standard, undiversified and component VAR and can be calculated on the whole portfolio, at each risk point, for a given instrument and for a custom-defined subportfolio. VAR workbooks are provided for one-currency VAR, foreign exchange VAR and multicurrency VAR.
APOs—Arithmetic averaging. Basket products containing unlimited number of assets. Additional coverage includes ladders, contingents, premium knock-ins, binary range, barrier-driven (money back and pay later) and double knock-ins/outs. Additional models include finite difference.
Additional coverage includes DECS, multiple “CHAIN resetables,” mandatory convertibles and warrants. Models include one-factor trinomial tree (equity only), one-factor trinomial (no-arbitrage) lattice tree and a two-factor model.
Analytical extension to UNIVEXOT
Implements most recent research on the analytical pricing of exotic options, including continuous/discrete barriers and continuous/discrete look-backs.
Multi-Asset Monte Carlo Analyzer
Basket products containing up to 65,535 assets.
Multifactor trinomial model.
Monis Options XL
Trinomial model, numerical integration, Monte Carlo.
Monis Generalized Monte Carlo XL
APOs—Geometric and arithmetic (average price), arithmetic (average strike). Basket products—prebuilt Excel workbook is configured to handle 100 underlying assets. The maximum number of possible assets in the basket is unlimited.
Monis Interest Rates XL
APOs—Arithmetic and geometric averaging.
APOs—Geometric, arithmtic and harmonic. Basket products containing unlimited number of assets. Additional products covered include barrier swaptions, rainbow better/ worse, flexi (auto) caps, options on installment options and ladders. Path-dependent options can be created with user-specified time windows for when to start/stop monitoring, as well as frequency. Additional models include Dravid-Richardson-Sun, Margrabe, Rubinstein-Reiner, Levy-Turnbull-Wakeman, Stulz, Hull, Goldman-Sosin-Gatto, Geske, Tanenbaum multinomial and several Savvysoft extensions.
Includes functions for trading fixed-rate and adjustable-rate mortgage-backed pass-throughs and strips (IOs and POs). Handles agency (Ginnie Mae, Fannie Mae and Freddie Mac) and private label deals. Functions handle fixed rate, adjustable rate, balloons and graduated payment collateral. Calculations include yield, price, modified duration, weighted average life, implied prepayment speed, payment components, factors and cash flows. Functions support different prepayment assumptions, including CPR, PSA, FHA, nth month and absolute.
Models include average price, average strike and contingent premium options. Models implement pricing and sensitivity calculations for these options and provide an array of optional parameters for holding cost, dividends, iterations, analytic/Monte Carlo, arithmetic/geometric and discrete/continuous.
Models include basket, rainbow, exchange, spread and contingent gap options.
Models include compound, chooser, complex chooser, forward start, Bermudan, shout and swing options.
Barrier-BinAry Exotics @nalyst
Single and double barrier, one-touch cash or asset, at hit or expiration are handled. Gap options and supershares.
PRODUCT SUPPORT/ DOCUMENTATION/ SAMPLE WORKSHEETS
Support and updates provided for an annual maintenance fee.
Support is available by phone, fax and e-mail. The cost is less than 20 percent of the purchase price. This is a yearly subscription program. On-line documentation includes pricing model descriptions, function reference and glossary. Also included is an integrated function finder, which can be used to access functions, function reference pages and mathematical documents, and to paste actual examples in the spreadsheet. A total of 69 sample worksheets are included. All documentation is also available as hard copy if required.
On-line help is available via the company’s web site.
Note: Intermark Solutions is incorporating a number of models from its Focus system to improve the results of a number of the models in its original Universal Spreadsheet Add-Ins. In particular, the Focus Basket Option Model will replace the current Spread Option Model, which is reviewed in this article. The current Spread Option Model in Intermark’s Universal Add-ins approximates the value of an exchange option by passing adjusted volatility and foreign rate to the vanilla European option-pricing model. It does not provide any intrinsic models for the multi-asset options. Intermark is releasing its new UnivBask Add-In module in July, which will provide intrinsic models from Focus to price European Exchange options, basket options and other multi-asset options.
Full support (via telephone, fax and e-mail), including free updates. The annual charge is 30 percent. Users with full support are entitled to a free license for their home PC and for a second screen at work.
Technical support is provided for spreadsheet, programming and quantitative questions. Support services are available via telephone, e-mail and fax. Documentation includes an Excel user’s manual and a DLL programming manual.
Support is available via phone, fax and e-mail to all users on a TOPS maintenance plan. Software updates are available via the Savvysoft web site. Extensive documentation includes a user guide, function reference and financial glossary. A sample workbook is available for every derivatives model. Help functions include context-sensitive help at the bottom of the screen determined by user inputs to the model dialog box and a template builder.
Telephone, e-mail, web-based and fax support are provided, including for installation. Maintenance costs 20 percent of software license per year, which includes unlimited technical support and software upgrades. Documentation includes both electronic and hard copies of the manual, which details all parameters, default values, restrictions, descriptions, formulas and examples. Sample workbooks are also included.
Technical support is provided by telephone, fax and e-mail. One year of free support is included with the initial purchase. The maintenance license, which consists of full support and all upgrades, can be extended for 15 percent of the price per year.
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