SPAV®
Basket option pricing, hedging, & risk management for currency and commodity markets

Description
SPAV (for SPreads and AVerages) is a set of Microsoft® Excel add-in functions that values basket options used in the currency and commodity markets, including foreign exchange, energy, metals, agricultural commodities, and broad-based stock indices. Typical users are corporations, investment funds, financial institutions, insurance companies, commodity firms, energy firms, and utilities.

SPAV 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, SPAV adds functions to Excel that are used like the built-in worksheet functions, so you can customize the SPAV templates or create new ones.

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

Features
Extensive Instrument Coverage The supported set of instruments (see Coverage) can be extended by combining and chaining functions to value complex transactions. SPAV includes templates for specialized trades such as currency baskets. FEA regularly expands instrument coverage and publishes new spreadsheet templates.

Comprehensive Results All price and risk measures can be calculated with a single function call. Results include fair value and sensitivity with respect to price (delta and gamma), volatility (vega), time (theta), yield (lambda), interest rate (rho), and standard error (Monte Carlo only). Where appropriate, risk measures are calculated for each asset in the basket.

Analytic and Monte Carlo Methodologies You can value instruments with either FEA's extremely fast analytic SPAV algorithm or control-variate Monte Carlo simulation. For Monte Carlo simulation, you can specify the number of simulations and the random number seed.

Coverage
SPAV functions value these instruments:
· European options (one asset)
· Average-price options (discrete, one asset)
· Average-strike options (discrete, one asset)
· Double-Asian options (discrete, one asset)
· Spread average-price options (discrete, two assets)
· Spread average-strike options (discrete, two assets)
· Crack options (thee assets)
· Basket options (up to 32 assets)
· Basket average-price options (up to 32 assets)