WebCab Bonds for .NET 2
WebCab Bonds for .NET 2 Ranking & Summary
WebCab Bonds for .NET 2 description
WebCab Bonds for .NET 2 is a program offering users the general Interest derivatives pricing framework: set contract, set vol/price/interest models and run MC. This software also includes Treasury's, Price/Yield, Zero Curve, Fixed-Interest bonds, Forward rates/FRAs, Duration and Convexity.
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 Examples 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#, 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 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 97/2000/XP/2003.
- ASP.NET Web Application Examples - ItASP.NET Examples with Synthetic ADO.NET - it
- 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-Toy (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 Pricing 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.
- Fundamental Theory of Bonds
- Price and Yield
- Pricing - Discounted cash flows model in accordance with the risk free interest rate. We include an implementation of the pricing market convention as offered within Excel's PRICE function and the DEC page of a Bloomberg Terminal.
- Yield to Maturity (YTM) - the YTM (also known as the Internal rate of Return (IRR) can be evaluated for any bond where the market price and the coupon payments until maturity are known. We include an implementation of the YTM market convention as offered within Excel's YIELD function and used within Bloomberg Terminals.
- Treasury Price - evaluate the price of a Treasury bond from the Treasury zero rates.
- Bond Yield - returns the yield of a Treasury bond when the price and coupons are known.
- Par Yield - we provide methods for calculating the Par Yield where the number of yearly payments and the annuity may vary.
- Constructing the Zero Rate Curve - using the technique known as bootstrapping and linear interpolation we our able to construct the zero rate curve.
- Forward Rates and FRAs
- Evaluation of Forward Rates - the forward rate for a given period can be evaluated from the zero rates at the start and end of that period.
- Forward Rate Agreements (FRAs) - we provide a method which shows to value of a FRA and the cash flows when the contract is settled.
- Duration and Convexity
- Duration - the Duration of a bond, bond portfolio, interest rate future and the rescaling of Duration according to different interest compounding conventions.
- Duration based hedging - Duration-Hedge Ratio, Convexity and its use in hedging interest rate risk.
- Yield of Fixed-Interest Bonds on Interest payment dates
- Simple Yield to Maturity - As used in Japanese bond markets to calculate the yield to maturity (simple yield to maturity) rather than the usual compound interest method (redemption yield).
- Gross Redemption Yield - For an interest payment date the gross redemption yield is given. We follow the convention in the US and UK to calculate and express redemption yield as a yield per annum, convertible half-yearly.
- Net Redemption Yield - The gross redemption yield on an interest payment date taking into account the investors income tax position.
- Holding period return - The yield over the period the stock was held by the investor according to US and UK interest payment conventions.
- Rate of Payments - Knowing the series of payments of one per interval payable in arrears for a number of intervals.
- Series of Payments - Knowing the rate of interest per interval and the number of intervals.
- In implementing the above procedures it has often be necessary to find solutions of polynomial equations. In order to find these solutions we have used the following techniques:
- Interval Bisection Method - A robust method that always finds a solution or a singularity inside a bracketed interval.
- Newton-Raphson Method - Given a first approximation to a root and the differential of the function this procedure will always produce a solution. We implement this procedure for polynomial functions of one variable.
- Interest Calculations
- Exponents and Series - Law of Exponents, Arithmetic Progression, Finite/Infinite Geometric Series
- Simple interest - a deposits value, Real worth, Real return
- Compound interest - Accumulated values, Real worth, Real return, Depreciation
- Effective and nominal interest - Real return, Force of interest
- Accumulated values of annuity-certain - Accumulated annuity certain in arrears, Accumulated annuity certain in advance
- Present values
- Present value of annuity-certain
- Yield - Internal rate, Real and nominal
- Real returns - Bonds, Rate of return
- Prerequisites and Compatibility Requirements:
- Pentium II® 500Mhz
- 64MB RAM
- .NET Framework v1.x
- Compatibility Operating System for Deployment:
- Windows Server 2003, 2000
- Windows XP Professional
- Software Requirements:
- .NET Framework v1.0 (or higher)
- Built Using:
- .NET Framework v1.0
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