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Summary

WebCab Options and Futures for .NET by WebCab

URLs: webcab-options-futures-net, webcab options futures net, webcaboptionsfuturesnet, webcab

Offers quantitative and risk management techniques for a wide range of option and futures contracts. 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.

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.

Offers quantitative and risk management techniques for a wide range of option and futures contracts.

Pricing: WebCab Options and Futures for .NET V3.1 1 Developer License, WebCab Options and Futures for .NET V3.1 4 Developer Team License, WebCab Options and Futures for .NET V3.1 1 Site Wide License (Allows Unlimited Developers at a Single Physical Address)

Evals & Downloads: Read the WebCab Options and Futures for .NET user guide

Operating System for Deployment: Windows XP, Windows 2000

Architecture of Product: 32Bit

Product Type: Component

Component Type: ASP.NET WebForms, .NET Class, .NET Web Service, 100% Managed Code

Web Services: Supports SOAP 1.2, Supports SOAP 1.1, Supports SOAP 1.0, WSDL Interface

Built Using: Visual C# .NET

Compatible Containers: Microsoft Visual Studio .NET 2003, Microsoft Visual Studio .NET, Microsoft Visual Basic .NET 2003, Microsoft Visual Basic .NET, Microsoft Visual C++ .NET 2003, Microsoft Visual C++ .NET, Microsoft Visual C# .NET 2003, Microsoft Visual C# .NET, .NET Framework 1.1, .NET Framework 1.0

Product Class: Business Components

Keywords: Financial finance bank banking insurance

Math Stats Mathematics Mathematical Statistic Statistical

Part numbers: PC-514614-191455 514614-191455 PC-514614-191456 514614-191456 PC-514614-191457 514614-191457