WebCab Options and Futures for .NET 3.0

WebCab Options and Futures for .NET 3.0 is a software using a range of price/vol/interest rate models for pricing option and futures contract, which also consists of a detailed Black-Scholes-Merton Model API (including Greeks and implied volatility) for European, Asian, American, Lookback, Bermuda and Binary Options using Analytic, Monte Carlo and Finite Difference techniques.

This software also provides a flexible implementation of a binomial and trinomial trees based pricing engine for the evaluation of employee options in accordance within the Enhanced FASB 123 model and a module allowing the evaluation of the Value-at-Risk (VaR) of an investment portfolio in accordance with the Linear model.

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.
• Monte Carlo Princing Engine: Evaluate price estimate accordance to number of iterations or maximum expected error. Evaluate the standard deviation of the price estimate, and the minimum/maximum expected price for a given confidence level.

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 our .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 97/2000/XP/2003.
• ASP.NET Web Application Examples - It ASP.NET Examples with Synthetic ADO.NET -It uses a ASP.NET service to perform component calculations on SQL database columns from a remote DBMS. It applies 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.

Major Features:

1. General Equity 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 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.
     • Get Intermediate Results: Read off the intermediate results which where found during each of the Monte Carlo simulations.
2. Exotic Options Module. The Exotic Options module implements the following functionality:
   • Types of Options - Within this module it shows 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 Monte Carlo and Finite Difference techniques.
   • Finite Difference Methods - powerful method for finding solutions of the Black-Scholes Equations.
   • • Single Asset Options - It provides 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 - It applies 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.
     • Greeks of Exotic Options - Evaluation of the Greeks (i.e. Delta, Gamma, Theta, Vega and Rho) of Asian, Lookback and Binary (aka digital) Options using a finite differencing approach.
     • Implied Volatility - Evaluate the implied volatility of a number of Exotic options including American, Asian, Lookback and Binary in accordance with the Black-Scholes model.
   • 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.
3. Trees Module. The Trees module implements the following functionality:
   • Employee Options - A binomial and trinomial trees based pricing engine for the evaluation of employee options in accordance within the Enhanced FASB 123 model as detailed within the paper, 'How to value Employee Stock Options', by John Hull and Alan White (September 2002).
   • Volatility models - Constant volatility model, and determinist volatility models provided by using interpolation points or user define function of time.
   • Interest Rate Models - Constant interest rate model or Yield Curve Model deduced from bond prices, forward rates, zero rates, forward rate curve can be used.
4. 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. It The Greeks - It offers 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.
   • Black-Scholes Price evolution - Evaluation of the expected future price, expected future variance, future price range probability, and probability of future price range in accordance with the Black-Scholes model.
   • • Expected Future Price - Evaluation of the expected future price.
     • Expected future variance - Evaluation of the expected future variance.
     • Future Price Range Probability - The probability that an asset lies within a given future price range.
     • Probability of Future Price Range - The probability that an asset will lie within a given future price range.
     • Estimate Expected Return - Line regression approach applied to an historical price series.
   • 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.
5. VaR Module. The VaR module offers the following functionality:
   • Evaluation of VaR using the Linear Model - the VaR of a portfolio to be evaluated by direct methods.
   • • Linear Model - Evaluation of the VaR of Portfolios with one, two or many assets.
     • Periods or Dates - The period over which VaR is evaluated can be given in terms of periods or by using a start and end date with respect to a selected or user defined calendar.
     • Utility Functions - Evaluation of the volatility and asset weights of a portfolio.
   • Asset Parameter Evaluation - Estimation of the volatility, expected return and covariance matrix of a portfolio.
6. 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.
       • Beta Estimation - Estimation of a portfolio's beta in accordance with the Capital Asset Pricing Model (CAPM).
     • 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. It offers methods which stress the asset in any one or two of the underlying market variables.

1. Prerequisites and Compatibility Requirements:
   • Pentium II® 500Mhz
   • 64MB RAM
   • .NET Framework v1.x
2. Compatibility Operating System for Deployment:
   • Windows Server 2003, 2000
   • Windows XP Professional
3. Software Requirements:
   • .NET Framework v1.0 (or higher)
4. Built Using:
   • .NET Framework v1.0