ARTLib XL - Core: the core library including all the
functionality expected for a traditional trading operation
ARTLib XL - Advanced Trading: advanced library includes
the Core library
and many advanced valuation and risk calculations, and also expanding many
functions to permit much more sophisticated hedge/rebalance calculations,
arbitrage relationships, and sophisticated treatment of complex/structured
products. This module also includes advanced numerical methods
such as Monte Carlo and Finite Difference based valuation and simulation
tools.
ARTLib XL - Templates/Trade Management Templates: a
collection of calculators, position keeping analysis, trade/hedging
analysis and other tools to assist with trade idea generation,
cross-market structuring, and many other useful resources.
ARTLib XL - Advanced Portfolio: includes many
calculators and resources superficially targeting portfolio oriented
matters, such as position reporting, extremely fast portfolio risk/bucket
analyses, optimisation resources and much more. Also, includes a
large number of numerical methods tools for advanced curve/surface,
trading analysis, as well as many Monte Carol tools. Also included
is 1-factor generalised Finite Difference PDE solver.
ARTLib XL - Advanced Finite Difference: a special
implementation of a generalised PDE solver for non-linear
multi-dimensional PDE problems. For example, the analysis of a
foreign denominated re-fixing convertible bond with hard and soft calls may
requires assessing the position's value for simultaneous and correlated
dynamics in the bond's IRR, the underlying equity, as well as the FX
impact. This would represent a 3-factor (3-dimensional)
valuation/risk problem that can be homogenously and consistently handled
in its entirety in a single FD calculation (without the need to assume
that its three separate simple individual trades, and which ignores
many important correlation subtleties).
Matrix 5D & Matrix 7D: scenario analysis toolkit to
assess portfolio value and risk profile while varying up to 5 or 7
factors. The XL version is limited to 5-factors because of graphing
limitations in spreadsheets.
Pr/rO
® XL Lite &
Pr/rO XL ®: spreadsheet
implementation of a reduced and simplified version of
Pr/rO
® Classic for analysing
holding period risk-adjusted portfolio P&L for various market conditions,
rebalancing strategies, and any real world factors.
Both forward and
backward analysis is possible. For example,
- How would your P&L behave
for various assumptions about market movements?
- Or, how would your
position's value be affected by changing rebalancing frequency or
strategy?
- Or how would your clients' portfolios P&L behave if you
sold them one or more structured products?
- How much could you save on capital by showing
the regulators that your valuation/risk management is extremely
effective?
Pr/rO
packages implement PaR analysis, and is introduced in Chapter 12 of
TG2RM1st PI&PII.
Pr/rO
® Classic & Ultra:
this is the "all speaking/all dancing" dealing/analysis system permitting
extremely realistic and sophisticated holding period simulations with
varying market dynamics, rebalancing strategies, funding, liquidity,
credit, etc. These are the products used to create the result on the
ARBLab
pages. These products are "big ticket" items with additional
information available from
PrrO@Arbitrage-Trading.com.
Pr/rO
packages implement PaR analysis, and is introduced in Chapter 12 of
TG2RM1st PI&PII.