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WebCab Options and Futures for .NET V3.1

Our prices include ComponentSource technical support and, for most downloadable products, an online backup and a FREE upgrade to the new version if it is released within 30 days of your purchase.  All sales are made on our standard Terms and Conditions and subject to our Return Policy. Please contact us if you require any licensing option not listed, including volume licensing and previous versions.

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The WebCab Exotic Options module implements the following methods and procedures:

• Types of Options - Within this module it is shown 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
  • Single Asset Options - an explicit and fully implicit algorithms including a framework in which to measure stability issues under differing scenarios.
  • Crank-Nicholson - is a fast and stable method for evaluating single asset option contracts
  • Multi-Asset - Implement a general multidimensional finite-difference algorithm
  • American, Bermuda Options Modification - apply the `Successive Over-relaxation' technique in order to value American and Bermuda options
  • 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
  • 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
  • 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
  • Control Structure - the user has full control over the number of simulations and/or the required precision
  
  

The WebCab Options module implements the following methods and procedures:

• European and Binary Options - The (Analytic) Black-Scholes model is fully implemented for European and Binary Options on stocks, currencies and indexes.
• `The Greeks' - 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:
  • ARCH - Autoregressive Conditional Heteroscedasticity model
  • EWMA - Exponentially Weighted Moving Average model
  • 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
  • Put - call parity relations for European options on an asset with no yield or a continuous yield
  • Put - call parity Relations for Binary options on an asset with no yield
  • 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
  • Spread Option Strategies - Bull Spreads, Bear Spreads and Butterfly Spreads
  • 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
  • Futures on stocks, bonds, indexes - evaluation for assets with or without income, effective gearing
  • Futures on commodities - cost of carry, utility yield
  
  
• Hedging - Portfolio hedging using index futures, optimal hedge ratio
  • Portfolio Hedging - delta hedge a portfolio using the beta coefficient
  • 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 module included within this Application offers the following functionality:

• Delta Limit Monitoring - For a portfolio (which may include Futures, Options, etc) the delta limit can be assigned and checked

This product also has the following feature:

• ADO Mediator - The ADO Mediator assists the .NET developer in writing DBMS enabled applications by transparently combining the financial and mathematical functionality of our .NET components with the ADO.NET Database Connectivity model.
• ASP.NET Web Application Examples - an ASP.NET Web Application example which enables you to quickly test the functionality within this .NET Service.
• ASP.NET Examples with Synthetic ADO.NET - an ASP.NET service used to perform component calculations on SQL database columns from a remote DBMS. Application of a component's function to certain rows from the database and list the output in HTML format. This is a powerful feature since it allows you to perform calculations in a DBMS manner without having to code the C# to SQL database transaction yourself as it is all done by the ASP within the .NET Framework managed server side environment.