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| Latest version: |
2.01 |
| Description: |
3-in-1: COM, .NET and XML Web service interest derivatives pricing framework: set contract, set vol/price/interest models and run MC. Also covers: Treasury bonds, Price/Yield, Zero Curve, Fixed-Interest bonds, Forward rates/FRAs, Duration and Convexity.
General Pricing Framework offers the following predefined Models and Contracts:
- Contracts: Asian Option, Binary Option, Cap, Coupon Bond, Floor, Forward Start stock option, Lookback Option, Ladder Option, Vanilla Swap, Vanilla Stock Option, Zero Coupon Bond, Barrier Option, Parisian Option, Parasian Option, Forward and Future.
- Interest Rate Models: Constant Spot Rate, Constant (in time) Yield curve, One factor stochastic models, Two factor stochastic models, Cox-Ingersoll-Ross Equilibrium model, Spot rate model with automatic yield, Heath-Jarrow-Morton forward rate model, Brace-Gatarek-Musiela (BGM) LIBOR market model.
- Price Models: Constant price model, General deterministic price model, Lognormal price model, Poisson price model.
- Volatility Models: Constant Volatility Models, General Deterministic Volatility model, Hull & White Stochastic model of the Variance, Hoston Stochastic Volatility model.
Once the contract and the price/interest/vol model combination has been set you able to run the Monte Carlo Pricing Engine which allows to:
- Evaluate price estimate accordance to number of iterations or maximum expected error.
- Evaluate the standard deviation of the price estimate, and the minimum/maximum expected price for a given confidence level. |
| Added: |
2005-03-11 |
| Attributes: |
 [BuiltForDotNet]  [Library] |
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| Latest version: |
2.0 |
| Description: |
Numerical procedures to either construct a function of one or two variables from a set of points (i.e. interpolate), or solve an equation of one variable, for your .NET, COM, and XML Web service applications.
The interpolation procedures provided include Newton polynomials, Lagrange's formula, Burlisch-Stoer algorithm, Cubic splines (natural and free), Bicubic interpolation and procedures for find the interpolation functions coefficients. In order to solve an equation the Van Wijngaarden-Dekker-Brent algorithm, interval bisection method, secant and false position, Newton-Raphson method and Ridders' method are provided.
This product also has the following technology aspects:
- 3-in-1, .NET, COM, and XML Web services: three DLLs, three API docs, three sets of client examples all in one product.
- ADO Mediator: the ADO Mediator assists the .NET developer in writing DBMS enabled applications by transparently combining the financial and mathematical functionality of WebCab's .NET components with the ADO.NET database connectivity model.
- Compatible Containers: Visual Studio 6 (incl. Visual Basic 6, Visual C++ 6), Visual Studio .NET (incl. VB.NET, C#.NET, and Visual C++.NET), Borland's C++ Builder (incl. C++Builder, C++BuilderX, C++ 2005), Delphi 3 - 2005, Office 97/2000/XP/2003.
- Client examples: multiple client examples including .NET (C#, VB.NET, C++.NET), COM and XML Web services (C#, VB.NET).
- ASP.NET Web Application Examples: test the functionality within a .NET service, and perform component calculations on SQL database columns from a remote DBMS. A component's function is applied to certain rows from the database and list the output in HTML format. |
| Added: |
2005-03-12 |
| Attributes: |
[BuiltForDotNet] [Library] |
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| Latest version: |
3.1 |
| Description: |
3-in-1: .NET, COM and XML Web service Components for pricing option and futures contracts using Monte Carlo and Finite Difference techniques.
Features include:
- General Monte Carlo pricing framework: range of contracts, price, interest and vol models. Price European, Asian, American, Lookback, Bermuda and Binary Options using Analytic, Monte Carlo and Finite Difference in accordance with a number of vol, price, volatility and rate models.
- Contracts: Asian Option, Binary Option, Cap, Coupon Bond, Floor, Forward Start stock option, Lookback Option, Ladder Option, Vanilla Swap, Vanilla Stock Option, Zero Coupon Bond, Barrier Option, Parisian Option, Parasian Option, Forward and Future.
- Interest Rate Models: Constant Spot Rate, Constant (in time) Yield curve, One factor stochastic models (Vasicek, Black-Derman-Toty (BDT), Ho & Lee, Hull and White), Two factor stochastic models (Breman & Schwartz, Fong & Vasicek, Longstaff & Schwartz), Cox-Ingersoll-Ross Equilibrium model, Spot rate model with automatic yield (Ho & Lee, Hull & White), Heath-Jarrow-Morton forward rate model, Brace-Gatarek-Musiela (BGM) LIBOR market model.
- Price Models: Constant price model, General deterministic price model, Lognormal price model, Poisson price model.
- Volatility Models: Constant Volatility Models, General Deterministic Volatility model, Hull & White Stochastic model of the Variance, Hoston Stochastic Volatility model.
- Monte Carlo Princing Engine: Evaluate price estimate accordance to number of iterations or maximum expected error. Evaluate the standard deviation of the price estimate, and the minimum/maximum expected price for a given confidence level.
This product also has the following technology aspects:
- 3-in-1, .NET, COM, and XML Web services: three DLLs, three API docs, three sets of client examples (C#, VB, C++,..) all in one product.
- ADO Mediator: assists the .NET developer in writing DBMS enabled applications by transparently combining the financial and mathematical functionality of WebCab's .NET components with the ADO.NET database connectivity model.
- Compatible Containers: Visual Studio 6, VS.NET, Office, C++Builder, Delphi. |
| Added: |
2005-04-11 |
| Updated: |
2006-12-05 |
| Attributes: |
[BuiltForDotNet] [Library] |
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| Latest version: |
5.0 |
| Description: |
.NET, COM and XML Web service implementation of Markowitz Theory and Capital Asset Pricing Model (CAPM) to analyze and construct the optimal portfolio with/without asset weight constraints with respect to Markowitz Theory by giving the risk, return or investors utility function; or with respect to CAPM by given the risk, return or Market Portfolio weighting. Also includes Performance Evaluation, extensive auxiliary classes/methods including equation solve and interpolation procedures, analysis of Efficient Frontier, Market Portfolio and CML.
Utility Functionality included:
- Interpolation: cubic spline and general polynomial interpolation procedures to assist in the study of the Efficient Frontier.
- SolveFrontier: solve the Efficient Frontier with respect to the risk, return, or the investors utility function.
- MaxRange: maximum range of the constrained Efficient Frontier
- AssetParameters: evaluation of the covariance matrix, expected return, volatility, portfolio risk/variance.
- Performance Evaluation: offers a number of procedures for accessing the return and risk adjusted return (Treynors Measure, Sharpes Ratio).
This product also has the following technology aspects:
- 3-in-1, .NET, COM, and XML Web services: three DLLs, three API docs, three sets of client examples all in one product.
- ADO Mediator: the ADO Mediator assists the .NET developer in writing DBMS enabled applications by transparently combining the financial and mathematical functionality of WebCab's .NET components with the ADO.NET database connectivity model.
- Compatible Containers: Visual Studio 6, VS.NET, Office, C++Builder, Delphi. |
| Added: |
2005-04-04 |
| Updated: |
2006-12-05 |
| Attributes: |
[BuiltForDotNet] [Library] |
Home Page
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| Latest version: |
3.6 |
| Description: |
Adds Statistics, Discrete Probability, Standard Probability Distributions, Hypothesis Testing, Correlation and Linear Regression functionality to your .NET, COM, and XML Web service Applications.
Includes:
- Statistics Module: Incorporates topic from data presentation (incl. standard, relative and cumulative frequency tables), Basic Statistics (incl. measure of centrality, dispersion and relative location) and Grouped Data (incl. Sample Mean, Variance and Standard Deviation).
- Discrete Probability Module: Encapsulates the probabilistic study of finite set of events (i.e. discrete probability) and experiments with a finite number of outcomes (i.e. discrete random variables).
- Correlation and Regression Module: Allows the user to investigate relationships between two variables. These finding can be used to predict one variable from the given values of other variables. We cover linear and rank correlation, linear regression and conditional means.
- Standard Probability Distributions Module: This module assists in the development of applications that incorporate the Binomial, Poisson, Normal, Lognormal, Pareto, Uniform, Hypergeometric, Weibull and Exponential probability distributions. The PDF, CPDF and inverse, mean, variance, Skewness and Kurtosis, random number generators are implemented where appropriate and/or their approximations.
- Confidence Intervals and Hypothesis Testing Module: Presents two aspects of inferential statistics known as confidence intervals and hypothesis testing.
This product also has the following technology aspects:
- 3-in-1, .NET, COM, and XML Web services: three DLLs, three API docs, three sets of client examples all in one product.
- ADO Mediator: the ADO Mediator assists the .NET developer in writing DBMS enabled applications by transparently combining the financial and mathematical functionality of WebCab's .NET components with the ADO.NET database connectivity model.
- Compatible Containers: Visual Studio 6, VS.NET, Office, C++Builder, Delphi. |
| Added: |
2005-03-18 |
| Updated: |
2006-12-05 |
| Attributes: |
[BuiltForDotNet] [Library] |
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