Financial Tools

Price & Trade has developed very useful financial tools. Some of them have to be plugged in a complete application like Pricing Library or Parameters Calibration modules but others have been designed to work has a stand alone application like the Training module.

Historical Implied Parameters Management

 

 

 

Pricing library

 

The Pricing Library module is actually designed for the evaluation of derivatives and more precisely options or warrants. Even if a large part of customers prefer using their own pricing models and keep them confidential, we think ours can perfectly suit to others players. Thanks to the background of the founders, the Price & Trade pricing models improve the standard models and have been used successfully in production environment.

The Price & Trade pricing for derivatives has been optimized for speed and precision. European Calls and Puts are priced with the Black and Scholes analytical formula and American options are priced using a modified Cox tree.

Price & Trade has also developed pricing schemes such as Trinomial Trees, Barone - Adesi - Whaley formula, Rolle - Geske - Whaley formula to improve the speed and accuracy of the american pricing. But obviously, convergence problems arise when using absolute dividends, no matter the pricing scheme. We have found a convenient solution based on a cox tree with a precise choice of construction parameters, which gives the best convergence.

 

Volatility curve parameters calibration

 

All the Price & Trade modules have been built to make the users work easier. This Parametric Calibration module is a one of the most convincing element. It has been developed to help the user to calibrate derivative volatility curves parameters.

The volatility model can be configured very easily thanks to graphical MGrapical2D and MParser tools (with as many parameters as you're model would require). You can graps handles (corresponding to the various parameters of the volatility model) in a 2D view and adjust it to the market implicit volatilities.

 

A 3D view using the MGraphical3D tool is also at your disposal to help you adjust the volatility surface smoothly.

Even if this module is designed for volatility curve, it can be easily adapted to other kind of graphical calibrations.

 

Strategies simulations

 

Thanks to its trading experiences Price & Trade built really useful modules with functionalites fitted to every day work.

One of the specificity of the derivatives segment is the huge number of financial instruments available. A user usually follows specifically a few numbers of instruments with specifics strategies in mind. It's why Price & Trade has developped the Strategies Simulations module. It permits to analyse and price one or many instruments on many products in dedicated windows.

This is an exemple of Strategy Simulation on BNP (a calendar spread):

An other example between two products France Telecom (FTE) and Deutsh Telecom (DTE):

 

Historical Implied Parameters Management

 

Price & Trade provides a module to store each days implied parameters. The advantage of keeping these parameters is they permit to obtain the volatility curve and not strike by strike volatility points only.

The data are analyzed with a special add-in on Excel.

You can select one product or all, an historical of the volatility for specific horizon in number of days, a strike range in % of the at the money strike.

You will then obtain a list of historical data fitted to your needs.

 

Training

 

Price & Trade provides a Training module which can record and store in a database market data. These data can be re-played with different speeds.

It lets people train in real market conditions. It is also very useful to test specifics strategies or developments.

 

 

 

 

WHO ARE YOU?

Hedge Funds
Sell Side Firms
Brokers
Others
 

WHAT DO YOU WANT TO DO?

Automated trading
Screen trading
Positions Management
Risk Management
Markets Accesses
Financial Tools
Technological Tools
 

COMPLETE APPLICATIONS

Market Making Suite