Why you need this software

Yes, there are many Excel® add-ins out there.  So why does the world need another?

This software is written/developed by professional traders for traders, structures, sales, risk management, and "desk/operation" management.  Our senior staff are former heads of trading and the like from well-known investment banks and similar.  Not only are the functions geared to account the vast minutia of real world trading, but also include many supporting templates and facilities that real trading requires.  For example, some add-ins include "swap curve generators", but clearly developed by IT staff or academics who have never traded a swap, and do not know of the market convention for curve blending and many other "reality impact" elements.  Moreover, almost no academic package includes attention to such things as Cheapest-to-Deliver (so even if they have some curve generator, how do they manage mixed problem of Govy/Treasure instruments with LIBOR products?).

This package is small subset of the 300,000 or so lines of code in our proprietary in-house systems, and which have been in use for many years of trading.

We also have PhD's in mathematics and like, and we know as much about stochastic calculus and computational methods (including PDE methods such as Finite Difference, Finite Element, etc, as well as simulation methods such as Monte Carlo) as anybody.  Crucially, our own in-house super-sophisticated rebalance/strategy optimisation trading package and the supporting elements are built for extreme speed, and immediately available for parallel/Symmetric Multi-Processing applications.   This means our code executes fast, and is suitable for very large portfolios, simulations, or just simply very fast for real-time applications.

Our longer term objective is to release "Off-the-shelf" add-in versions of our Pr/rO ®  package.  This produce permits full simulation of entire holding periods with any rebalancing strategy as may be required for hedging, prop trading, or arbitrage.  It permits the "optimal" selection of strategies based on the best risk-adjusted P&L that most closely suits your objectives and mandate.  The Pr/rO ® simulation packages require a core valuation/risk package, and the ARTLib XL - Core package is the ideal candidate.

Release Candidate "0" (RC0) is to be released shortly.  We expect that there will be an RC1 and possibly an RC2.  We intend to use your feedback for the final shaping of some of the features of the package.  What you get with RC0:

You get the essential ARTLib XL - Core as described by following that link

You get templates for real world curves, CTD's, position valuation, risk reporting etc.

You get samples of each and every function is working spreadsheets for live illustration of their usage and workings.

You get ART's support for both technical/software support, as well as "trading risk" support at a level suitable for you (see here also ARTWare Support) .

You get copies of the relevant and highly acclaimed TG2 e-Books

 

There are various system requirements and other matters that are elements of the complete agreement, please contact ARTWare@Arbitrage-Trading.com for full details.