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Screen Shots

2-D Options Profiling

3-D Options Profiling

Cheapest-To-Deliver Analysis

Strip Analysis

Option Matrices

Click on an image to bring up the full-size version.


Derivan for Windows is a derivative analysis suite, with the following capabilities:

bulletOptions Profiling: Plot profit-and-loss, delta, gamma, theta, vega, or rho profiles against futures price, volatility, or days to expiry. Profiles in three dimensions allow you to use six combinations of the aforementioned variables.
bulletCheapest-To-Deliver Analysis: Calculate conversion factors, yields, implied repurchase rates, gross and net basis, together with duration and convexity analysis for a variety of exchange-traded bond futures.
bulletStrip Analysis: Use the actual cash or futures curves to calculate implied cash or futures values and one / two year swap rates.
bulletVolatility Analysis: Determine premiums from volatilities and volatilities from premiums along with all model sensitivities. Support is also provided for straddle / strangle positions, portfolios containing up to 120 separate calls and puts, and the generation of trading matrices.
bulletOptions Quote Screen: Enhance the standard bid / offer / last options pages by calculating fair value, volatility and model sensitivities for calls and puts using up to 15 strikes.
bulletSupplied Option Models: Derivan for Windows includes the following "simple" models: Black, Black / Scholes, Cox / Ross / Rubinstein, and Garman Kohlhagen. The "advanced" models are: Geske Compound, Rubinstein Displaced Diffusion, Cox / Ross Absolute Diffusion, Cox / Ross Pure Jump, Merton Jump Diffusion, and Barone-Adesi / MacMillan.
bulletCode Builder: Give Derivan for Windows the exchange and instrument name and it will retrieve the correct ticker symbols, base units, expiry dates, and yield conventions for all supported instruments.
bulletSpreadsheet Utilities: Use the Derivan for Windows libraries to perform option and yield analytics in Microsoft Excel. All option models are supported and most yield calculations are included in these utilities.


Please contact DART Ltd for information on pricing and distribution.


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Last modified: Tuesday, 25 February 2003 07:25