DerivaTool®
Generalized Monte Carlo simulation

Description
DerivaTool is a set of Microsoft® Excel add-in functions that values derivative and cash instruments using Monte Carlo simulation. Typical users are traders, risk managers, quantitative researchers, auditors, corporations, investment funds, financial institutions, insurance companies, and energy firms.

DerivaTool is written completely in C++ and provides extremely fast calculations. It includes Excel add-in functions (XLL files), customizable Excel templates, and documentation. When installed, DerivaTool adds functions to Excel that are used like the built-in worksheet functions, so you can customize the DerivaTool templates or create new ones.

DerivaTool is also available as the DTlib™ C++ library for Unix and Windows programmers who want to incorporate DerivaTool functions into custom and third-party C, C++, Visual Basic, and SQL database applications.

Features
Extensive Instrument Coverage Using the DerivaTool Scripting Language, you can describe your own instruments with arbitrarily complex contract terms. You can also incorporate different models into a given instrument, selecting models that best represent the market dynamics of the factors underlying your financial contracts. DerivaTool includes templates for specialized trades such as basket options and equity-linked securities. FEA regularly enhances the modeling features and scripting language and publishes new spreadsheet templates.

DerivaTool Scripting Language (DSL) DSL allows precise and flexible instrument design. It supports all standard C-language arithmetic, comparison, and logical operators and permits user-defined variables that describe instrument behavior and model assumptions. DSL includes intrinsic time and event, statistical, mathematical, and flow-control functions.

Cutting-edge Methodologies DerivaTool's C++ component technology gives you access to many financial models and simulation tools. You can simulate the market movements of any number of underlying assets using antithetic variance reduction.

Comprehensive Results DerivaTool provides extensive Monte Carlo simulation summary statistics, including histograms, instrument payoff, intermediate cash flows, and all risk measures.

Unlimited Number of Underlying Assets DerivaTool can simulate the market movements of any number of underlying factors, restricted only by available memory.

Underlying Asset Sensitivities Risk measures can be calculated for any set of user-defined variables. You can calculate the standard "Greeks" and custom sensitivities.

Cash Flow Analysis You can calculate intermediate present- or future-valued cash flows. This is useful for specifying coupon and dividend payments and creating hedging strategies.

User-Defined Calendars and Holiday Recognition DerivaTool recognizes existing and user-defined calendars-essential for precise instrument design.

Coverage
DerivaTool functions perform the following calculations:
· Free an existing component from memory
· Create or modify a holiday calendar
· Write report results in XML format
· Display the results of a Monte Carlo simulation
· Display the status of all existing components
· Create an asset-pair correlation term structure
· Create a covariance table
· Create or modify an instrument
· Create a forward-price term structure
· Create an interest-rate term structure
· Create a price-volatility term structure
· Create a convenience yield term structure
· Create or modify a lognormal price-movement model
· Create or modify a normal price-movement model
· Create or modify an instrument parameter
· Generate uniformly-distributed random numbers
· Display summary statistics of simulated cash flows
· Display a histogram table of a simulated cash flow
· Display a histogram table of a risk measure
· Display summary statistics of a total payoff
· Display a histogram table of a total payoff
· Display summary statistics of a risk measure
· Display summary statistics of the theta risk measure
· Display a histogram table of the theta risk measure

Here of some of the instruments DerivaTool can value:
· Asset swaps
· Average-price options
· Average-strike options
· Barrier options
· Basket options
· Capped instruments
· Cliquet options
· Corridor options
· Digital options
· Dividend-paying equity options
· Equity-linked securities
· Foreign exchange options
· Lookback options
· Ratchet options