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Marketbooks

Asian Options:

- Average Price
- Average Strike
- Lookback
- Quanto
- Contingent
- Contingent Premium

- Barriers

- Bond Calculator

Dates:

- Holiday Calculator
- Date Calculator

- Spread

- Black-Scholes
- Binominal

Swaps/IRO:

- Dates
- Curves
- Swap
- Graph
- Swaption
- Caps & Floor

- Swing Calculator
- Date Calculator
- Exercise Dates

@nalyst Packages

Highlights

This program has virtually everything a bond market professional needs for analyzing domestic, international, stepped coupon and sinking fund bonds.

- Treasury, agency, corporate and municipal bonds
- international bonds (Eurobond, OAT, gilt, BTP, etc.)
- stepped coupons, sinking funds, PIK and perpetual bonds
- discounts and CD's
- floating rate notes
- Brady bonds
- yield, price, accrued interest
- duration, convexity, value of a 32nd, value of a BP
- carry, forward price, future price, implied repo rate
- holding period return
- bond conversion factors, e.g., CBOT, LIFFE, MATIF, etc.
- strip and tail calculations
- after-tax calculations
- odd coupon and multiple calendar support
- customizable bond types
- Securities Industry Association (SIA) & ISMA compatible

Functions

Domestic and International Bonds

including Stepped Coupons and Sinking Funds

- bai accrued interest
- bal average life of a sinking fund bond
- bcamt coupon payment size for a particular coupon date
- bcarry carry
- bconv convexity
- bcpn coupon or quasi-coupon date
- bcshflw bond cash flows
- bdur modified duration
- bel equivalent life of a sinking fund bond
- bexdiv ex-dividend date of a bond
- bfact CBOT, LIFFE, MATIF, MONTREAL, MEFF, TSE and other contract conversion factors
- bfwd forward price
- bhyld holding period return
- bifutp bond future price
- birepo implied repo rate
- bnbasis net basis
- bncpn number of remaining coupon payments
- bpr price given yield-to-maturity
- bryld yield with externally specified reinvestment rate
- btable bond type table
- btype bond type
- bvalbp value of a basis point
- bval32 value of a 32
^{nd} - byld yield-to-maturity given price
- byldal yield-to-average-life of a sinking fund bond
- byworst yield-to-worst of a callable bond

- frnai accrued interest
- frncamt coupon payment size
- frnconv convexity
- frncshflw floating rate note cash flow
- frndm discounted margin
- frndur duration
- frnpr FRN price given yield
- frnsm simple margin
- frnvalbp value of a basis point
- frnval32 value of a 32
^{nd } - frnyld yield-to-maturity

- bradydur modified duration
- bradypr price given sovereign yield
- bradyyld sovereign (stripped) yield given price

- pikai accrued interest
- pikcshflw bond cash flows
- pikdur* duration
- pikpr price given yield
- pikvalbp* value of a basis point
- pikval32* value of a 32nd
- pikyld yield-to-maturity given price
- *in beta test

- ilgai accrued interest
- ilgcshflw bond cash flows
- ilgpr price given yield
- ilgyld yield-to-maturity given price

- pbai accrued interest
- pbcamt coupon payment size
- pbcarry carry
- pbconv convexity
- pbcpn coupon date
- pbdur duration
- pbfwd forward price of a perpetual bond
- pbirepo perpetual bond implied repo rate
- pbpr price given yield
- pbvalbp value of a basis point
- pbval32 value of a 32
^{nd } - pbyld yield given price

Bills and Other Discount Securities

- blbey bond equivalent yield
- bldisc dollar discount given discount rate
- bldiscr discount rate given dollar price
- blpar bill parity, breakeven forward rate of short bill
- blpr dollar price given discount rate
- blrepo breakeven repo rate for bill tail
- blstrip breakeven discount rate of long bill (strip)
- bltail breakeven forward discount rate for bill tail
- blval01 value of a basis point change in discount rate
- blyld simple interest yield
- blyldtodisc discount rate from simple interest or bond equivalent yield
- blyldtopr price from either simple interest or bond equivalent yield

CD's and Other Interest-At-Maturity Securities

- cdai accrued interest
- cdbey bond-equivalent yield
- cdpr price given yield-to-maturity
- cdrepo breakeven repo rate for CD tail
- cdtail breakeven sale yield-to-maturity for CD tail
- cdval01* value of a basis point
- cdybm holding period yield
- cdyld yield-to-maturity given price
- *in beta test

Highlights

The Wall Street proven analytics you need to create your own open, real-time trading system.

- American and European calls and puts
- modified Black-Scholes pricing model
- binomial pricing model
- MacMillan and Barone-Adesi and Whaley pricing model
- Roll-Geske-Whaley pricing model
- jump-diffusion pricing model
- 1st and 2nd order price sensitivities including delta, gamma, theta, rho, and kappa
- holding cost adjustment to allow options on:
-equities

-futures (Black model)

-bonds

-commodities

-foreign currency (Garman-Kohlhagen model)

- FASB compliant for employee stock options
- three dividend adjustment methods for equity options
- implied and historical volatility

Functions

- bdopt bond option price
- binopt binomial option price and hedge ratio
- blkedopt Eurodollar futures option price
- blkopt Black option price
- bsopt Black-Scholes option price
- gkopt,

gkopt4 Garman-Kohlhagen option price - whaley Barone-Adesi and Whaley option price
- rgwopt Roll-Geske-Whaley option price
- jumpopt jump-diffusion option price
- warrant* warrant pricing
- *in beta test

- bdsens price sensitivities using bond option model
- binsens price sensitivities using binomial model
- blkedsens price sensitivities using Eurodollar futures options model
- blksens price sensitivities using Black model
- bssens price sensitivities using Black-Scholes model
- gksens,

gkopt4 price sensitivities using Garman-Kohlhagen model - whaleysens price sensitivities using Barnone-Adesi Whaley model
- rgwsens price sensitivities using Roll-Geske-Whaley model
- jumpsens price sensitivities using jump-diffusion model
- warrantsens* warrant model sensitivities
- *in beta test

All sensitivity functions can compute:

- delta 1st derivative w.r.t. underlying price
- gamma 2nd derivative w.r.t. underlying price
- theta 1st derivative w.r.t. time to expiration
- kappa 1st derivative w.r.t. volatility (vega)
- rho 1st derivative w.r.t. risk-free rate
- psi 1st derivative w.r.t. dividends (to yield for bond options, to storage cost for commodity options, to foreign interest rate for foreign exchange options)
- omega price elasticity
- "zeta" 1st derivative w.r.t. strike price

- bdimpv implied volatility using bond option model
- binimpv implied volatility using the binomial model
- blkedimpv implied volatility using Eurodollar futures option model
- blkimpv implied volatility using Black model
- bsimpv implied volatility using Black-Scholes
- gkimpv,

gkimpv4 implied volatility using Garman-Kohlhagen model - whaleyimpv implied volatility using Barone-Adesi and Whaley model
- rgwimpv implied volatility using Roll-Geske-Whaley model
- jumpimpv implied volatility using jump-diffusion model
- voltcc volatility using historical close-to-close prices
- volthl volatility using historical high-low prices
- volthlc volatility using historical high-low-close prices
- volthloc volatility using historical high-low-open-close prices
- voltexp volatility using exponentially-weighted asset returns

- bdis implied strike using bond option model
- binis implied strike using the binomial model
- blkedis implied strike using Eurodollar futures option model
- blkis implied strike using Black model
- bsis implied strike using Black-Scholes
- gkis,

gkis4 implied strike using Garman-Kohlhagen model - whaleyis implied strike using Barone-Adesi and Whaley model
- rgwis implied strike using Roll-Geske-Whaley model
- jumpis implied strike using jump-diffusion model
- *in beta test

Highlights

The latest advancements in pricing and sensitivity analytics for exchange traded and over-the-counter options.

Pricing and sensitivity functions for over 40 different types of exotic options including

- Asian options
- lookback options
- quanto options
- barrier options
- double barrier options
- digital barrier options
- binary options
- Bermudan options
- compound options
- spread options
- chooser options
- rainbow options
- swing options
- cliquet options
- basket options

Functions

- avgprice average price Asian options
- avgstrike,

avgstrike2 average strike Asian options - lookback lookback options
- quanto quanto options
- cntgnt contingent premium options

- downin down-and-in barrier options
- downout down-and-out barrier options
- upin up-and-in barrier options
- upout up-and-out barrier options
- aonth asset-or-nothing binary options
- conth cash-or-nothing binary options
- gap gap binary options
- super supershare binary options
- otahit one-touch asset-at-hit options
- otchit one-touch cash-at-hit options
- otaexp one-touch asset-at-expiry options
- otcexp one-touch cash-at-expiry options
- dblkickin double barrier kick-in options
- dblknockout double barrier knock-out options
- dblnotouch double barrier no-touch options
- dblotchit double barrier one-touch cash at hit options
- dblotcexp double barrier one-touch cash at expiration options
- dblotahit double barrier one-touch asset at hit options
- dblotaexp double barrier one-touch asset at expiration options
- aonupin asset-or-nothing up-and-in digital barrier options
- aonupout asset-or-nothing up-and-out digital barrier options
- aondwnin asset-or-nothing down-and-in digital barrier options
- aonupin asset-or-nothing up-and-in digital barrier options
- conupin cash-or-nothing up-and-in digital barrier options
- conupout cash-or-nothing up-and-out digital barrier options
- condwnin cash-or-nothing down-and-in digital barrier options
- conupin cash-or-nothing up-and-in digital barrier options

- basket basket options
- basketoftwo two-item basket options
- gbasket generalized basket options
- rmax rainbow option – “best of two”
- rmin rainbow option – “worst of two”
- exch exchange options
- binexch American exchange options
- spread spread options
- gap2 two-asset digital correlation gap (contingent payout) options
- Compute exponentially weighted correlations with correxp

- compound compound options
- chooser chooser options
- chooserc complex chooser options
- fstart forward start options
- bermudan Bermudan options
- swing swing options
- cliquet cliquet options
- shout shout options
- genbinopt generalized binomial option pricing

Highlights

Swap @nalyst is the professionals tool of choice for flexible analysis of swaps. Included in the package is the most advanced yield curve building technology.

Build, analyze and alter models for the term structure of interest rates.

- Build term structure from market instruments such as cash rates, futures prices and swap rates.
- Term structure can be represented as a zero-coupon yield curve, a zero-coupon discount curve or a forward rate curve.
- Extract rates and discount factors with several interpolation methods.
- Price FRA's and bonds; find a bond's spread over a yield curve; analyze Brady bonds.
- Shift and pivot interest rate term structure.

Analyze Swaps

- Price swaps, determine cash flows or structure a swap to be valued at par.
- Swaps can have any number of legs and can involve multiple currencies or multiple yield curves.
- Swaps can be specified concisely or each payment can be individually customized.
- Includes support for arrears swaps, roller coaster swaps and arbitrary fixed payments.

Functions

Curve Building and Manipulation

- dfcurve construct a discount factor curve
- crvdirect put user-specified curve data into swap @nalyst format
- crvfwd convert to a forward rate curve
- crvspot convert to a forward spot curve
- crvdf convert to a discount factor curve
- crvprint print a curve
- crvgetdf obtain discount factors
- crvgetrate obtain rates from curve
- crvperiod create periodic discount factor curve
- crvinsert insert dates into discount factor curve
- crvshift shift term structure
- crvshiftw shift window in term structure
- crvpivot pivot the term structure
- fraprice price of a forward rate agreement

- bpr2 bond price given discount curve
- bspread spread over yield curve
- bcspread coupon spread over yield curve
- bradypr2 Brady bond price given discount curves
- bradysprd sovereign spread of a Brady bond
- fbradypr floating rate Brady bond price
- fbradysprd sovereign spread of floating rate Brady bonds

- swapcustom price a custom swap
- swaptemplate,

swaptemplnp,

swaptemplo* produce a swap leg suitable for customizing - swapleg,

swaplego* price a leg of a swap - simpleswap,

simpleswapo* price a simple swap - fxswap,

fxswapo* price a cross-currency swap - impliedswap implied margin to give swap a specific PV
- implsimpswap,

implsimpswapo* implied margin to give swap a PV of zero - implfxswap,

implfxswapo* implied margin to give FX swap a PV of zero - *in beta test

Highlights

Analyze complex interest rate options simply and accurately from within your spreadsheet. The package comes with the most advanced yield curve building technology.

Build, analyze and alter models for the term structure of interest rates.

- Build term structure from market instruments such as cash rates, futures prices and swap rates.
- Term structure can be represented as a zero-coupon yield curve, a zero-coupon discount curve or a forward rate curve.
- Extract rates and discount factors with several interpolation methods.
- Price FRA's and bonds; find a bond's spread over a yield curve; analyze Brady bonds.
- Shift and pivot interest rate term structure.

Pricing and sensitivity analysis of interest rate options.

- Caps, floors, options on zeros and coupon bonds, swaptions and binary options.
- Most functions offer a choice of pricing model: Black, Ho-Lee, Hull-White, and Black-Derman-Toy are currently supported.
- Implied volatility functions for all instruments.

Functions

Curve Building and Manipulation

- dfcurve construct a discount factor curve
- crvdirect put user-specified curve data into iro @nalyst format
- crvfwd convert to a forward rate curve
- crvspot convert to a forward spot curve
- crvdf convert to a discount factor curve
- crvprint print a curve
- crvgetdf obtain discount factors
- crvgetrate obtain rates from curve
- crvperiod create periodic discount factor curve
- crvinsert insert dates into discount factor curve
- crvshift shift term structure
- crvshiftw shift window in term structure
- crvpivot pivot the term structure
- fraprice price of a forward rate agreement

- bpr2 bond price given discount curve
- bspread spread over yield curve
- bcspread coupon spread over yield curve
- bradypr2 Brady bond price given discount curves
- bradysprd sovereign spread of a Brady bond
- fbradypr floating rate Brady bond price
- fbradysprd sovereign spread of floating rate Brady bonds

- zerooptprice of a zero-coupon bond option
- zerosenssensitivities for zero-coupon bond options
- zeroimpvimplied volatility for zero-coupon bond options
- capfloorletprice of a caplet or floorlet
- capfloorletsenssensitivities for a caplet or floorlet
- capfloorletimpvimplied volatility for caplets and floorlets
- capfloorprice of a cap or floor
- capfloorsenssensitivities for a cap or floor
- capfloorimpvimplied volatility for caps and floors
- gcapfloorletprice of a generalized caplet or floorlet
- gcapfloorletsenssensitivities for a generalized caplet or floorlet
- gcapfloorletimpvimplied volatility for generalized caplets and floorlets
- gcapfloorprice of a generalized cap or floor
- gcapfloorsenssensitivities for a generalized cap or floor
- gcapfloorimpvimplied volatility for generalized caps and floors
- irconthprice of a binary interest rate option
- irconthsenssensitivities for binary interest rate options
- bdopt2price of a European bond option
- bdsens2sensitivities for European bond options
- bdimpv2implied volatility for European bond options
- bdopt3price of an American/Bermudan bond option
- bdsens3sensitivities for American/Bermudan bond options
- bdimpv3implied volatility for American/Bermudan bond options

- swaption price a European swaption
- swaptionsens sensitivities for European swaptions
- swaptionimpv implied volatility for a European swaption
- swaptionhw price a Bermudan/European swaption
- swaptnsenshw sensitivities for Bermudan/European swaptions
- swaptnimpvhw implied volatility for a Bermudan/European swaption
- swaptionfhw price of a European, Bermudan or American swaption on a forward starting swap
- swaptnfsenshw sensitivities of a European, Bermudan or American swaption on a forward starting swap
- swaptnfimpvhw implied volatility for a European, Bermudan or American swaption on a forward starting swap

- buildbdt construct a BDT binomial tree
- capcalbdt cap calibration of the BDT tree
- zeroopt_t price a zero-coupon bond option using BDT
- capfloorlet_t price a caplet or floorlet using BDT
- capfloor_t price a cap or floor using BDT
- THIswaption_t price a European or Bermudan swaption using BDT
- THIswaptnf_t price a European or Bermudan swaption on a forward starting swap using BDT

Highlights

Price, structure, analyze and trade your mortgage securities with ease!

- mortgage-backed pass-through securities(GNMA, FNMA, FHLMC)
- IO's, PO's, other strips, GPM's, ARM's
- choice of prepayment assumptions:
-constant prepayment rate (CPR)

-Public Securities Association (PSA)

-custom prepayment vector

-FHA experience

-absolute prepayment rate - price, cash flow yield, bond equivalent yield
- implied CPR, PSA, FHA
- duration, weighted average life
- cash flow components, factors, amortization tables
- settlement-based calculations

Functions

Price, Yield, Duration and WAL — fixed rate mortgages

- mbsaiaccrued interest
- mbscfgenerates table of payment components and factors
- mbsdurmodified duration
- mbseconveffective convexity
- mbsedur effective duration
- mbsfact remaining balance (factor) for remaining term n
- mbsint coupon interest component of nth monthly payment
- mbsisp implied speed
- mbspr price given yield, speed and speed type
- mbspre prepayment component of nth monthly payment
- mbssp implied CPR, PSA or FHA speed given price and yield
- mbssprin scheduled principal component of nth monthly payment
- mbstpay total monthly payment size
- mbstprin total principal component, scheduled amortization plus prepayment of nth monthly payment
- mbswal weighted average life
- mbsyld cash flow yield given price, speed and speed type
- mbszpr* price given Z-spread
- mbszspread* Z-spread
- *in beta test

Adjustable Rate Mortgage Functions

- setarm Specify an ARM
- armai accrued interest
- armcf amortization table
- armdm discount margin
- armdur modified duration
- armfact factor at the end of the nth flow
- armint interest component of the nth flow
- armpr price given yield
- armpre prepayment component of the nth flow
- armsprin anticipated scheduled principal component of the nth flow
- armtpay nth total flow
- armtprin anticipated total principal component of the nth flow
- armwal weighted average life
- armyld mortgage (cash flow) yield

The following prepayment types are supported:

- constant prepayment rate (CPR)
- Public Securities Association (PSA)
- custom prepayment curve
- FHA experience
- n month
- absolute prepayment rate

Prepayment Rate Conversion Functions

- mbscprconstant prepayment rate from SMM
- mbssmmsingle monthly mortality rate from CPR

Highlights

Credit @nalyst brings THI’s proven analytical expertise to the new world of credit derivatives

Price default swaps:

- Single and periodic premiums supported
- Compensate for counterparty exposure
- Two distinct pricing methodologies

Price options on default swaps:

- Single and periodic premiums supported
- Two distinct pricing methodologies

Price basket default swaps:

- Protection based on number of defaults
- Protection based on face value of defaults
- Price credit spread options

Functions

- credput Calculate the price of a default put (default swap) using credit spread methodology
- credputtm Calculate the price of a default put (default swap) using transition-matrix approach
- credtmdefault Return default rating transition matrix used by credit @nalyst
- opcredput Calculate the value of options on credit puts using Monte Carlo and the credit spread to infer default rates
- opcredputtm Calculate the value of options on credit puts using a transition-matrix approach
- credbasketdef Calculate the price of a credit basket default swap
- credbasketloss Calculate the price of a credit basket default loss swap
- credspread Calculate spread option prices using a modified Black model

Highlights

Calculate NPV, IRR, business day arithmetic and loan amortization schedules!

Generalized net present value, internal rate of return, future value, cash flow duration and floating rate margin

- non-uniform spacing of cash flows
- multiple discount/interest rates
- multiple discounting/accrual schemes
- concise specification of repeated flows

Amortization and annuities

- advance and residual payments
- odd delays to first and residual payments
- payment, rate, term and residual calculations
- balance, accrued interest and periodic amortization

Date arithmetic supporting actual and 30/360 calendars Business day calculations with weekends and holidays, with support for more than 25 major financial centers Rate periodicity and quote conversion General mathematics and interpolation

Functions

Generalized Cash Flow Analysis

- convex cash flow convexity
- durat cash flow duration
- futv future value
- irate internal rate of return
- mdietz* modified Dietz portfolio return
- mwr* money-weighted portfolio return
- netpv net present value
- scmarg floating rate scenario margin
- twr* time-weighted portfolio return
- *in beta test

- amaint accumulated interest after n payments
- amint periodic interest rate
- ampmt periodic payment
- ampmti interest component of nth periodic payment
- ampmtp principal component of nth periodic payment
- amprn initial principal
- amres residual or balloon payment
- amrprn principal remaining after n payments
- amterm time length in periods
- amwal weighted average life

- deporate1 implied Eurodeposit rate for first currency
- deporate2 implied Eurodeposit rate for second currency
- sfwdrate forward rate offer or bid for forward rate agreement
- swappt implied forward offer or bid swap points

- binormcumulative bivariate normal distribution function
- binormdensbivariate normal density function
- combcombinations, number of unordered subsets
- csplintcubic spline interpolation
- cubinterp cubic and log-cubic interpolation
- fib nth term of Fibonacci sequence
- gcd greatest common denominator
- lcm least common multiple
- linterp linear interpolation and extrapolation
- linterp2d 2D linear interpolation
- mdet determinant of a matrix
- perm permutations, number of ordered subsets

Highlights

This program has virtually everything a professional needs for analyzing domestic and international convertible bonds.

Specifiable Convertible Bond Attributes:

- (stepped) coupons and calendar convention
- conversion schedule
- put and call option parameters
- credit spread
- dividend payments and protection
- exchange rate dynamics
- interest rate term structures
- sinking fund provisions

Functions

Domestic and International Convertible Bonds

including Stepped Coupons and Sinking Funds

- csbond Specify a convertible bond
- csimpcredspread implied credit spread of bond
- csimpvol implied volatility of underlying stock
- csprice price of convertible bond
- cssens sensitivities of convertible bond

Highlights

Provides functions for performing statistical analysis of asset returns.

- Calculates performance for a stream of NAVs
- Calculates statistics such as average, correlation and standard deviation for asset returns

Functions

- perfPerformance of an instrument or a fund
- perfptdPeriod-to-date performance of an instrument or a fund
- perfpPerformance of an instrument or a fund during a specified calendar period
- perfannuAverage annualized performance of an instrument or a fund
- pfcagrCompound annual growth rate
- periodtagReturns date tagging a particular calendar period

- pfalpha Alpha
- pfavg Average performance conditioned by reference index
- pfavggain Arithmetic average of positive performances in a series
- pfavloss Arithmetic average of the negative performances in a series
- pfbest Best performance in a sequence
- pfbeta Beta
- pfcorr Correlation
- pfcovar Covariance
- pfdowndev Downside deviation
- pfjens Jensen measure
- pfkurts Kurtosis
- pfmaxdrawdn Computes maximum drop in net asset value
- pfneg Relative number of time intervals when performance is negative
- pfpeakvalley Total performance between (absolute) maximum and following minimum
- pfpos Relative number of time intervals when performance is positive
- pfrecov Time lapse from minimum to maximum
- pfrsqr Coefficient of determination (R-squared)
- pfsharpe Sharpe measure
- pfsigma Standard deviation
- pfskew Skewness
- pfsortino Sortino measure
- pftrackerr Tracking error
- pftreyn Treynor measure
- pfworst Worst performance in a sequence