Derivatives Expert IV Products
Derivatives Expert
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  • Extensive functionality for doing rapid financial analysis
  • Wide range of analytical pricing models
  • Deployment possibility to large IT platforms, for example, distribution of pricing calculations to several computers, connecting to multiple databases, connecting to market data sources, and web integration
  • Fast Monte Carlo functionality for simulating prices and simulating price paths. This can be done multidimensionally, incorporating correlations, or with equidistant or non-equidistant trading times.
  • Very extensive library of analytical pricing models for cash flow related securities and instruments, such as bonds, mortgage-backed bonds, floaters, forwards, and swaps (e.g., currency swaps and interest rate swaps)
  • Many analytical option-pricing models, including models for exotic options
  • Bond types include annuities, bullets, consols, serials, and zero-coupon bonds
  • Mortgage-backed bond functionality includes prepayment functions based on the Public Securities Association (PSA) model. The PSA model is fully integrated into the given analytical pricing models.
  • Binomial option-pricing models that take different dividend specifications
  • All financial instrument pricing functions that are based on discounting of a cash flow can be priced using infinite-precision numbers or faster (compiled) machine-precision numbers
  • Fast functions that take optional values, for choosing specific interest-compounding methods, day counting methods, calendars, etc.
  • Holiday calendars for trading days are fully customizable
  • Convenient and efficient handling of the first coupon for all financial instruments that have a floating rate coupon such as swaps and floaters (variable interest rate bonds)
  • Ability to, or not to, include accrued interest with all relevant financial instruments, for example, bonds, MBOs, and swaps
  • Functionality to fit interest rates and calculate zero-coupon interest rates from coupon bonds representing "the market"
  • Fast discounting functions
  • Caching and optimization of core calendar functions for higher performance
  • Hundreds of pages of documentation, including a wide variety of detailed examples
  • Documentation written in Mathematica notebook format for ease of use, for example, utilizing hyperlinks in text for easy referencing and finding information, and for working directly with the Derivatives Expert functions within the documentation