ARTLib XL - Core

Available at the ARTShop

The ARTLib XL - Core is the foundation library/add-in developed by traders including all the functionality expected for a modern professional trading operation (see list below).  The functions are geared toward P&L specific trading in the valuation and risk assessment of almost any traditional traded instrument.  Additionally, the functions include many specialised features that arise in a trader's day-to-day requirements.  

The module includes a complementary copy of A Trader's Guide to .. Read Me 1st Part I and Part II or A Trader's Guide to Quantitative Methods: Basic Stats & Maths *.

The modules are written to have very easy implementation and flexibility to provide very low cost of implementation and development.  For example, a large spreadsheet written to value vanilla caps can be easily converted to value/risk asses exotic options with just the alteration of one or a few cells.  Though there are specialised versions of many of the calculations, in most cases there are "super functions" that access all of the required features from a single interface.  Thus, for example, a bond trader may only ever need to know 1 or few functions.

The calculations/functions are optimised for speed of execution (and are SMP ready***) providing a practical environment for large and/or real time trading/risk analysis (see benchmarks here).

The Core module is also required for the later modules in the ARTLib XL suite, which provide many advanced and sophisticated treatment of trading, position keeping, structuring, and portfolio management (see a comparison of features).

The modules are also available with almost any degree of customisation, for different environments (e.g. LINUX), in different formats (e.g. DLL, static, source code), etc.  Request more information HERE, or write to ARTWare@Arbitrage-Trading.com

List of Function Categories and Resources

This Core module is closely interrelated to the he ARTLib XL - Adv Trader module, and some advanced features require both libraries.

Date/Calendar/Time Functions: (57) functions

Interpolation Functions: (12) functions

Present Value & IR Functions: (16) functions

IR Curve Generation Functions: (6) comprehensive functions

IR Securities Functions: (28) functions

IR Derivatives Functions: (16) functions

Vanilla Options Functions: (30) functions

Volatility Functions: (4) functions

Exotic Options Functions: (12) functions

Interest Rate Options and Term Structure Functions: (16) functions

Mortgage/MBS Functions: (12) functions

Structured/Hybrid Products Functions: (8) functions

Sundry/Support/Array/Stats Functions: (48) functions functions

Abridged Descriptions (click links for details)

Date/Calendar/Time Functions: (57) functions providing almost every conceivable date/calendar calculation for real world application.  In addition to all of the obvious year fraction, interest basis (e.g. 30E/360 etc), basic routines, there are also a large number of functions available to generate "offset" calendar calculations (e.g. next 3rd Wednesday on an IMM calendar for the 5th forward Sep future etc).  Additionally, there are important functions to generate a variety of cash flow date sequences for almost any instrument (e.g. long first, short last, FRN with compounding quarterly coupons at first, then semi-annual later, on modified following basis with custom holiday effects, etc) , see LIST.

Interpolation Functions: (12) functions to provide all basic interpolation requirements on a variety of basis (constant, linear, exponential, splines etc), see LIST (and also see 12 more interpolation and fitting functions in the ARTLib XL - Adv Trader module for specialised curve/surface functions for complex products, arbitrage, and trade idea generation/ PaR analysis).

Present Value & IR Functions: (16) functions providing a wide range of PC and IR functionality and conversions relating PV and IR to discount factors, yields, annutisation, forward rates, etc.  Most functions are also available in "vector/array" format, so for example, an entire sequence of collection of sequences of forward rates can be produced in one step, see LIST.

IR Curve Generation Functions: (6) comprehensive functions which not only generate yield curves from market inputs, but also provide flexible and immediate analysis of curve features (e.g. immediately produce dF's, forward rate curves, etc to see where to "trade the curve").  The standard and advanced functions can produce any curve type (LIBOR, Gov, Corp, Mortgage, etc) and can do so for any combination of input contracts (Deposits, Deposit Futures, FRA's Bonds, Bond Futures, Swaps, Mortgages, etc) with a variety of interpolation and fitting methods, with the more sophisticated features available in the ARTLib XL - Adv Trader module, see LIST.

IR Securities Functions: (28) functions to cover all aspects of cash flows and risk/valuation of deposits, bonds, FRNs, with almost any degree of sophistication as well as direct functions for standard products.  In most cases, the valuation and risk calculations can be performed on any or all variations of spot, forward start, IO, PO, fees/Spread basis.  In addition to standard bonds and FRNs, the functions can easily handle any generalisation (stubs, step ups, compounding coupons, etc).  Advanced features are incorporated for highly specialised rebalancing and trading needs requiring sophisticated valuation and risk analysis (e.g. funding arbitrage, spread trading, etc, see also the ARTLib XL - Adv Trader module), see LIST.

IR Derivatives Functions: (16) functions covering all aspects if valuation and risk of standard and complex (non-contingent) IR derivatives (FRA's, Deposit Futures, Swaps, Bond Futures, etc).  The valuation and risk calculations, as above, have a considerable sophistication with spot/forward, IO, PO, Fees/Spread, and many other sophisticated analysis.  Even the most basic valuations can generate extra analysis for different rebalancing assumptions and other position keeping implications.  Swaps functions permit "many legs" so in addition to the usual 2-leg format, you may also perform valuation and risk for example on a 4 -leg structure involving basis/fixed-fixed/basis with or without additional "spread legs", or complex notional (e.g. amortising with exchange), or FX curve effects acting on the IR components.  There are also a variety of related functions, such as CTD/Implied Repo etc available for most standard and also some quite general settings (useful in both listed trading and also in OTC trading where margining and other related process are required).  There are also various additional advanced functions for valuation and risk of correlation related issues such as spread/curvature factors, tailing/FRA convexity etc. (see also the ARTLib XL - Adv Trader module) , see LIST.

Vanilla Options Functions: (30) functions covering individual and "super function" closed form solutions from all common models including for European and American Black-Scholes, Merton, Whaley, Bjerksund, etc as well as some specialised closed from options valuations such as fractal adjusted model.  All functions can also produce a very wide variety of risk and related statistics required in reporting and rebalancing.  Support functions include many Expiration functions, and close control for specialised trading (e.g. very short dated options with "minutes" to expiration etc).  See also the ARTLib XL - Adv Trader module for numerical solutions (e.g. Monte Carlo) that permit a wider range of modelling and real world analysis, while Pr/rO ®,  and later modules, also permit synthetic replication analysis for optimal hedge strategies, arbitrage opportunities, and structuring considerations, see LIST.

Volatility Functions: (4) functions for traditional historical volatility analysis complement the implied volatility and term-structure volatility related functions, with the advanced functions also capable of analysing "trading volatility", "portfolio/position volatility", and "P&L volatility" (See also the ARTLib XL - Adv Trader , and Pr/rO ® modules ** ),  see LIST.

Exotic Options Functions: (12) functions providing valuation and risk via tradition closed form solutions to all of the "usual suspects" exotic options.  The the ARTLib XL - Adv Trader , Pr/rO ® ,  and later modules, also provide for advanced numerical methods to value complex options that do not have closed form solutions, or when sophisticated trading/synthetic replication is required, see LIST.

Interest Rate Options and Term Structure Functions: (16) functions that together with the functions above permit sophisticated valuation and risk calculations for all traditional and a large number of complex IR options including vanilla caps/floors/swaptions/bond options/FRA'ptions (IRG's) etc.  The other modules also permit seamless generation of exotic serial options (e.g. knock-out caps etc, with advanced features permitting many additional possibilities, see also the ARTLib XL - Adv Trader , Pr/rO ® ,  and later modules), see LIST.

Mortgage/MBS Functions: (12) standard MBS functions for valuation and risk assessment of standard mortgage and  MBS products with our without pre-payment, and as always can be performed on any combination of  spot, forward start, IO, PO, spread/fees basis.  Additional functions permit detailed cash flow analysis, various  tranching strategies (e.g. IO, PO and others) and basic CMO  analysis.  The ARTLib XL - Adv Trader , Pr/rO ® ,  and later modules permit advanced functions for pre-payment modelling, simulations, and complex structuring, see LIST.

Structured/Hybrid Products Functions: (8) basic functions for the valuation and risk assessment of basic structured products including convertible bonds, equity swaps, fair-way bonds, simple baskets, index/futures arbitrage, and the like.  Fully comprehensive treatment of structured/hybrid products (especially with complex features) requires The ARTLib XL - Adv Trader , Pr/rO ® ,  and later modules, see LIST ****.

Sundry/Support/Array/Stats Functions: (48) functions providing support for the ARTLib functions and providing additional fast analysis, see LIST.

 

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**** Note: this segment is under review, and the final edition of splitting structuring functions between the Core module and the Adv Trader module is yet to be determined.

*** SMP: Symmetric Multi-Processor ready code means that it can immediately take advantage of multiple CPU's on the client PC.   In many cases there is near linear scaling with number of CPU's, e.g. 2 CPU's implies nearly twice the speed of execution.  There are various limits on the total number of CPU's used during the calculations that limited by the version of the module and the client's requirements.

**Pr/rO ® is also included as part of the ARTPr/rO advisory service.

* Shipping is extra, and The TG2 Quantitative Methods: Basic Stats & Maths book is expected to be in print later this year.