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Screen Shots
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2-D Options Profiling
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3-D Options Profiling
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Cheapest-To-Deliver Analysis
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Strip Analysis
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Option Matrices
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Click on an image to bring up the full-size version.
Description
Derivan for Windows is a derivative analysis suite, with the following
capabilities:
 | Options Profiling: Plot profit-and-loss, delta, gamma, theta,
vega, or rho profiles against futures price, volatility, or days to
expiry. Profiles in three dimensions allow you to use six combinations
of the aforementioned variables. |
| Cheapest-To-Deliver Analysis: Calculate conversion factors,
yields, implied repurchase rates, gross and net basis, together with
duration and convexity analysis for a variety of exchange-traded bond
futures. |
| Strip Analysis: Use the actual cash or futures curves to
calculate implied cash or futures values and one / two year swap rates.
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| Volatility Analysis: Determine premiums from volatilities and
volatilities from premiums along with all model sensitivities. Support
is also provided for straddle / strangle positions, portfolios
containing up to 120 separate calls and puts, and the generation of
trading matrices. |
| Options Quote Screen: Enhance the standard bid / offer / last
options pages by calculating fair value, volatility and model
sensitivities for calls and puts using up to 15 strikes. |
| Supplied Option Models: Derivan for Windows includes the
following "simple" models: Black, Black / Scholes, Cox / Ross /
Rubinstein, and Garman Kohlhagen. The "advanced" models are: Geske
Compound, Rubinstein Displaced Diffusion, Cox / Ross Absolute Diffusion,
Cox / Ross Pure Jump, Merton Jump Diffusion, and Barone-Adesi /
MacMillan. |
| Code Builder: Give Derivan for Windows the exchange and
instrument name and it will retrieve the correct ticker symbols, base
units, expiry dates, and yield conventions for all supported
instruments. |
| Spreadsheet Utilities: Use
the Derivan for Windows libraries to perform option and yield analytics
in Microsoft Excel. All option models are supported and most yield
calculations are included in these utilities. |
Pricing
Please contact DART Ltd for information on pricing and distribution.
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