Apologies: table below is very out of date - e.g. several functionalities are missing
The table below summarises the capabilities of our software suite.
A fully compatible database interface is available separately, which allows to write plugins to connect to any DB. There is an open source plugin for MySQL available in the free download section (register to access).
Similarly, we have recently developed SP Investor, a set of separate tools to analyse Structured Products from the investor point of view.
Features |
Professional |
Basic |
---|---|---|
Advanced tools for calibration of volatility surface, yieldcurves and forwards |
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Advanced volatility surface models (proprietary parameterisation) |
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Flexible dividend modelling, with consistent greeks |
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Yield curves, borrow costs, and additional utilities functions |
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Detailed help on each function |
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Dedicated pricers for vanillas and quantos,
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Pricer for generic, user-specified exotic options and Structured Products |
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Dedicated fast pricer for barrier options (including doubles and digitals,) |
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Dedicated fast pricers for variance/volatility swaps and options on variance |
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Dedicated fast pricers for multi-underlying worst/best-of and basket options |
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Vanilla spreadsheets, from tutorials to calibration to stressing
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Spreadsheets on light exotics, variance derivatives, on advanced and generic exotics
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