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Analytics Tools....
Investment
Analytics has developed a range of software tools
for financial engineering applications. Written in a
variety of languages (VBA, C++, MatLab), these tools
provide stand-alone analytics functionality or
component functionality for more complex analytical
systems. The applications include econometrics,
fixed income modeling, derivatives pricing and risk
management. See also:
modeling under
consulting services.
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Clip-On Tools
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The
Clip-On Toolkit is designed as a series of pop-up
calculators operating in the familiar Excel
framework and providing a convenient yet
sophisticated analysis tool for derivatives
pricing, structuring and risk management.
For more
details about the Toolkit click
here.
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Econometric Analytics
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Hurst Exponent Estimation |
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Rescaled Range Analysis |
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Correlation Integral |
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ARIMA modeling |
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GARCH modeling |
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1- and 2-Factor REGARCH models |
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Fixed Income Analytics
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Cubic Spline Interpolation |
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Basis Spline Interpolation |
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Treasury Calculator |
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Cash & Carry Arbitrage |
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Cheapest to Deliver |
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Diebold-LI Yield Curve Model |
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Ho-Lee Model |
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Hull-White Model |
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Vasicek Model |
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Derivatives Analytics
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Option Calculator |
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Black-Scholes |
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Black (76) |
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Garman-Kolhagen |
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Swaption pricing |
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Asset or Nothing |
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Binary Barrier |
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Complex Chooser |
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Double Barrier |
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Floating Strike Lookback |
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Gap Option |
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Geometric Average rate Option |
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Spread Option |
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Correlation Option |
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Investment Analytics ©
1998 - 2006 |
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