WebCab Options for .NET - Summary
by WebCab - Product Type: Component / .NET WinForms / 100% Managed Code / ActiveX DLL
Summary
WebCab Options for .NET by WebCab
URLs: webcab-options-net, webcab options net, webcaboptionsnet, webcab
3-in-1: .NET, COM and XML Web service Components for pricing option and futures contracts using Monte Carlo and Finite Difference techniques. WebCab Options for .NET implements the General Monte Carlo pricing framework: wide range of contracts, price, interest and volume models. Price European, Asian, American, Lookback, Bermuda and Binary Options using Analytic, Monte Carlo and Finite Difference in accordance with a number of volume, price, volatility and rate models.
WebCab Options and Future implements the following functionality:
General Interest Derivatives Pricing Framework
General Pricing Framework offers the following predefined Models and Contracts:
Contracts: Asian Option, Binary Option, Cap, Coupon Bond, Floor, Forward Start stock option, Lookback Option, Ladder Option, Vanilla Swap, Vanilla Stock Option, Zero Coupon Bond, Barrier Option, Parisian Option, Parasian Option, Forward and Future
Interest Rate Models: Constant Spot Rate, Constant (in time) Yield curve, One factor stochastic models (Vasicek, Black-Derman-Toty (BDT), Ho & Lee, Hull and White), Two factor stochastic models (Breman & Schwartz, Fong & Vasicek, Longstaff & Schwartz), Cox-Ingersoll-Ross Equilibrium model, Spot rate model with automatic yield (Ho & Lee, Hull & White), Heath-Jarrow-Morton forward rate model, Brace-Gatarek-Musiela (BGM) LIBOR market model
Price Models: Constant price model, General deterministic price model, Lognormal price model, Poisson price model
Volatility Models: Constant Volatility Models, General Deterministic Volatility model, Hull & White Stochastic model of the Variance, Hoston Stochastic Volatility model
Once the contract and the price/interest/vol model combination has been set you able to run the Monte Carlo Princing Engine which allows:
Evaluate Price: Evaluate price estimate accordance to number of iterations or maximum expected error
Estimate Error: Evaluate the standard deviation of the price estimate, and the minimum/maximum expected price for a given confidence level
Exotic Options Module
The 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 the 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
Options Module
The 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' - 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
Futures Module
The 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 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. Methods which stress the asset in any one or two of the underlying market variables
Technology Aspects
This product also has the following technology aspects:
3-in-1: .NET, COM, and XML Web services - Three DLLs, Three API Docs, Three Sets of Client Example all in 1 product. Offering a 1st class .NET, COM, and XML Web service product implementation
Extensive Client Examples - Multiple client examples including .NET (C Sharp, VB.NET, C++.NET), COM and XML Web services (C#, VB.NET)
ADO Mediator - The ADO Mediator assists the .NET developer in writing DBMS enabled applications by transparently combining the financial and mathematical functionality of the .NET components with the ADO.NET Database Connectivity model.
Compatible Containers - Visual Studio 6 (incl. Visual Basic 6, Visual C++ 6), Visual Studio .NET (incl. Visual Basic .NET, Visual C#.NET, and Visual C++.NET), Borland's C++ Builder (incl. C++Builder, C++BuilderX, C++ 2005), Borland Delphi 3 - 2005, Office XP/2003
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 to perform component calculations on SQL database columns from a remote DBMS. Applying 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
3-in-1: .NET, COM and XML Web service Components for pricing option and futures contracts using Monte Carlo and Finite Difference techniques.
Pricing: WebCab Options for .NET V2.5 1 Developer License, WebCab Options for .NET V2.5 4 Developer Team License, WebCab Options for .NET V2.5 1 Site Wide License (Allows Unlimited Developers at a Single Physical Address)
Evals & Downloads: Download the WebCab Options for .NET evaluation on to your computer - Expires after 100 uses
Operating System for Deployment: Windows XP, Windows Server 2003, Windows 2000
Architecture of Product: 32Bit
Product Type: Component
Component Type: .NET WinForms, 100% Managed Code, ActiveX DLL
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, CodeGear C++ 5.0 (formerly Borland), CodeGear C++ (formerly Borland), C++Builder 6, C++Builder 5, C++Builder 4, C++Builder 3, Delphi 2005 (9.0), Delphi 8.0, C#Builder, .NET Framework 1.1, .NET Framework 1.0
Product Class: Business Components
Keywords: Financial finance bank banking insurance
Part numbers: PC-515485-51936 515485-51936 PC-515485-51938 515485-51938 PC-515485-51939 515485-51939
