Dynamic valuation of  options and greeks in function of :

• Stock

• Strike

• Time to maturity

• Volatility

• Rate

Different derivatives models available:

• Black-Scholes & Merton

• Binomial Trees ( Cox Ross Rubinstein, Jarrow Rudd , Trigeorgis )

• Trinomial Tree

• Explicit Finite Difference

3-dimensional graphics of options and greeks in function of any couble of variables among the parameters named above.

Quick valuation of strategies using also different derivatives models namedabove.

Implied volatility.

The Strategy's control Panel enables the user to split the strategies in its Options. Then the possibility is given to graphicaly study the P&L or the greeks variations.

In order to visualize 2D graphics, one must chose the abscissa variable according which the study is made (the radio buttons on the left side of the Panel).

In order to visualize 3D graphics, one must select also the ordinate variable.

Then, only by changing the values of the 4 other parameters thanks to the sliders, it is possible to see how the curve is impacted in real time on the graphic.

By selecting the correct thumb-nail it is possible to visulize the P&L or the greeks. For each graphic, two curves are drawn:

• In red: curve with user-defined time to maturity.

• In orange: curve with instant values for volatility.

For the P&L, another curve is drawn:

• in blue: curve at maturity.

The user can find the best view of his positions by using grahical facilities

• Zoom in / Zoom out
• Zoom box
• Translation

In order to speed up the process of entering strategies, most common of them have been pre-programmed. Buy or sell of :

• Call

• Put

• Straggle

• Strangle

• Call Ratio

• Call Spread

• Put Spread

• Butterfly

• Condor

Different derivatives models available:

• Black-Scholes & Merton

• Binomial Trees ( Cox Ross Rubinstein, Jarrow Rudd , Trigeorgis )

• Trinomial Tree

• Explicit Finite Difference

So far, instant values for volatilities and stocks are stored in an excel file which is updated on a regular basis or when decided by the user.