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  • TradeSmart


    TradeSmart includes over 100 models

    The financial models that are unlocked and customizable.

    Save time and models that include cutting edge research and financial tools.   TradeSmart includes all of the following workbooks. The workbooks are unlocked and customizable. Below is a list of some models available in the TradeSmart product: Credit Derivatives Binomial Default Models CDO Mapping Explained CDO valuation including correlation matrix CDO valuation including local  and stochastic volatility CDO valuation on binomial function Options American style option pricing Black-Scholes Model Bond option on Black-Scholes Swaps FRA pricing model Index amortization swap on Hull-White Trinomial

    1. Future models:

    • Arbitrage free bond futures price
    • Arbitrage free commodity futures price
    • Arbitrage free currency futures price
    • Arbitrage free index futures price

     2. Swap models:

    • Interest rate swap pricing model
    • Cross currency swap pricing model
    • Libor-in-arrears swap pricing model
    • Yield-curve swap pricing model
    • Eonia swap pricing model
    • Index Amortizing swap pricing model (on Hull-White)
    • Basis swap pricing model
    • Differential swap pricing model
    • FRA swap pricing model
    • Correlation swap value derivation

     3. Option models (all models come with the risk-parameters Delta, Gamma, Vega, Rho, Theta):

    • Equity option (Black-Scholes-Merton (BSM) 1973) and extensions (including discrete and continuous dividends)
    • Currency option
    • Commodity option
    • American style option models
    • Implied vol generator (inferred from BSM model)

    Interest rate options:

    • Cap Floor models (including Clique Cap and Floor model, and Clique-Ratchet Cap and Floor model)
    • Bond options (on BSM and Vasicek)
    • Swaptions (including cash settled Swaptions and physically settled Swaptions)
    • CAT bond pricing model (including the insurer – catastrophe correlation)

     Exotic options:

    • Five Rainbow options, also termed ‘Correlation Options’: Exchange option, Option on the best of two, Option on the worst of two, Option on the better of two or cash, Option on the max of two
    • Two Digital options: Asset or Nothing, Cash or Nothing
    • Quanto option
    • Barrier options
    • Compound option
    • Convertible Bond option
    • Contingent premium option
    • Chooser option
    • Bermuda options
    • Convertible Bond option

     4. Credit Derivatives

    • CDS pricing models (including CDS with counterparty default risk and default correlation)
    • Options on CDS
    • CDO pricing models (including local and stochastic vol)
    • Credit spread option
    • Default probability derivation (Original Merton 1974 model and extensions)
    • Base correlation generation model
    • CPPI model
    • OFGC (one-factor Gaussian copula model)

     5. Basel III models

    • IMA (Internal model approach) based – CVA (Credit Value Adjustment) model
    • CVaR (Credit Value at Risk) model (with interactive 3D graph)
    • Basel double default model (Substitution approach and Double Default approach)
    • ES (Expected shortfall) derivation of the FRTB
    • IRC (Incremental Risk charge) model (of a bond including migration and default data)
    • DRS (Debt specific risk) (of a bond to capture rare idiosyncratic risk)

     6. Educational stuff

    • 2-asset default time copula
    • Anscombe correlation examples
    • Annuity derivation model
    • Bivariate distribution (with interactive 3D graph)
    • Central Limit theorem explained
    • Dispersion trading model
    • Spreadsheet derivation of Epsilon (random drawing for the standard normal dist)
    • GBM (geometric Brownian motion) models with mean reversion and jumps
    • GPD (generalized Pareto distribution) and GEV (Generalized extreme value distribution)
    • Greeks of options and their derivation
    • Hazard rate explained
    • Heston correlation model
    • Hull-White trinomial model
    • Ito proof
    • Investment and Correlation
    • Libor market model
    • Log returns
    • Matrix primer
    • Proof that the BSM option function satisfies the Ito PDE
    • Proof of OLS
    • xi (default indicator variable) explained
    • yield calculation

    Price of TRADE SMART: $199. Contact for PayPal details.