NillaHedge's
capabilities include option analytics, graphical sensitivity analysis, and
spreadsheet assessments of a portfolio of positions in stocks and vanilla puts
and calls. Option analytics, provided by
the OptionAnalyzer, include implied volatility, elasticity,
probability of closing in the money, and six Black-Scholes
greeks: delta, gamma, theta, rho(r),
rho(D), and vega. NillaHedge provides
graphical sensitivity analysis of the options portfolio and any four options
with respect to the risk free rate, the passage of time, and the underlying
stock's volatility. In particular, NillaHedge's HedgeExplorer plots option values and the profitability
of ratio-calendar option spreads and stock hedges across a range of underlying
stock prices. The TimeDecayExplorer provides insight into how individual
options and the aggregate option portfolio value behave over time, revealing
surprising nuances when dividends are defined for the underlying stocks. NillaHedge uses the
Present Value of dividends to compute accurate Black-Scholes
option values, falling back to a continuous yield model when option value isn't
analytic using PV(divs). Given an active OptionChain
subscription NillaHedge's OptionChainRetriever can fetch stock price, company
name, and options market data for a given stock symbol, thus eliminating manual
entry. The VolatilityValueExplorer provides insight into how
sensitive the options portfolio and individual option are to changes in their
underlying stock’s volatility.
BondManager's
capabilities analogously include bond analytics, graphical sensitivity
analysis, and spreadsheet assessments of a portfolio of positions in
non-callable bonds. Bond analytics,
provided by the BondAnalyzer, include current yield, yield to maturity
(YTM), Macaulay duration, modified duration, convexity, market value imputed at
a given DeltaYTM (change in yield), present value of
par, and present value of coupons within a range of dates.
BondManager
incorporates a RateSensitivtyExplorer, PortfolioNavigator, and PositionsTranscripts capabilities. In similar fashion, NillaHedge
has analogous RateSensitivityExplorer, PortfolioNavigator, and PositionTranscripts capabilities. In each case, the RateSensitivityExplorer
provides a graphical comparison of the rate sensitivity of the bond or options
portfolio against any four issues, bonds in BondManager,
and options in NillaHedge. The PortfolioNavigator
provides a folding spreadsheet view of all open positions in BondManager's bond portfolio or NillaHedge's
option/stock portfolios where leaf level rows include the position purchase
date, number of units, cost, market value, capital gain, dividend income (for
stocks), coupon income (for bonds), net gain (capital gain + applicable
income), annualized yield, exercise value (for options), and the position
opening note. Issue level rows present the
issue symbol, aggregate units, cost, etc. for positions in the issue, including
the cost-weighted average annualized yield, and the issue description. Rows at higher levels of abstraction present
aggregate values and cost-weighted annualized yields of the positions
within. To simplify hand-off to income
tax professionals, plain text Positions Transcripts summarize open positions or
positions closed in a particular calendar year, including the position's
capital gain, income, annualized yield, and opening and closing notes.
StrategyExplorer
is a spread/hedge planning tool that predefines twelve option spreads and eight
stock hedges. It plots the profitability
of vertical spreads and hedges based on intrinsic value, i.e. without regard
for the time value of money or contributions to option value derived from the
underlying stock's volatility. Vertical
spreads and hedges are constructed from options which all expire on the same
date. Predefined option spreads can be categorized
as: bullish, bearish, neutral with low
volatility, and neutral with high volatility.
Bullish spreads include synthetic
long stock, bull
call spread, and bull
put spread. Bearish spreads include synthetic
short stock, bear
call spread, and bear
put spread. Neutral-low volatility
spreads include short
straddle, short
strangle, butterfly
call spread, and butterfly
put spread. Neutral-high volatility
spreads include long
straddle and long
strangle. Predefined stock hedges
can be categorized as covered, protective, bracketed, and arbitrage,
respectively including covered
call, covered
put; protective
put, protective
call; collar,
fence;
conversion,
and reversal. This comprehensive set of two and
three-legged scenarios makes StrategyExplorer
particularly useful as a spread/hedge learning tool.
YieldCurveFitter
estimates the spot rate and computes intermediate yields for given points on a
yield curve. Any set of yields at the
supported maturities may be used as input, not necessarily being U.S.
Treasuries. Any rates not provided are
computed, typically meaning that the equivalent of U.S. Treasury yields at 1,
7, 15, 20, and 25 year maturities are computed, thus providing a ready
comparison with non-U.S. Treasury instruments at those maturities. Given an active U.S. T-Bill Rate
Subscription, YieldCurveFitter can fetch the current
U.S. Treasury yields, thus eliminating manual entry of the known rate points.
Subscription services provide U.S. T-Bill Rates to YieldCurveFitter and Option Chains to NillaHedge. Both data services are accessible through any
firewall that allows access to the world wide web.
A 32-bit Windows PC is required for installing products
and subscription services to a
PocketNumerix
is focused on delivering hedge fund quality computational finance tools for
mobile investors. For more information,
please refer to content on: http://pnmx.com.