Calculations   Risk   Portfolios   Trading   Other

Calculations A smarter way to work with financial instruments

The ability to calculate - and especially calculate very fast is an essential part of Zonar. Several instruments like options and futures, has no meaning unless value are added in form of calculated numbers that give meaning and find the opportunities. Zonar contains all the relevant formulas needed to calculate the correct theoretical price of a given financial instrument.

Theoretical Pricing

When it comes to pricing of financial instruments, only highly-skilled numerical specialists, such as those working at SoftCapital, have sufficient understanding of this science. In Zonar all this knowledge has been incorporated into the system. The system comprises a wide range of models, from the simple formulae of Black & Scholes to advanced mutlivariate models and specialized models for certain options. You will automatically receive all possible risk values together with the theoretical prices, and all calculations are carried out at a speed that surprises even the most demanding user. The system is build to handle massive updates from electronic markets; the calculations are done in a separate thread which means that even if the system is processing at full range simulation of a global portfolio; you will still be able to trade at full speed.

Each window has can have its own calculation settings or use a global standard.

Properties like yield curves and volatility assumptions is forwarded to all clients in real time, if a user has the right to change this property. It is quite normal that different departments have different assumptions about yield and volatility, hence an unlimited amount for the same currency or underlying asset can be created. The Yield curves are automatically maintained from an information source like SSL as a timed request. Zonar support also all known rate models and time conventions. Some calculations can be run off the server, for instance basket- and arbitrage calculations. this approach is taken since no local user settings will change the result of the calculation.

Own Models

If Zonar doesn't contain enough calculations as is, or the case might be that you have your own ideas about a calculation, then you can define your own formulas and they will automatically be inserted in the system as a column throughout the system. You do not have to wait till the next release cycle of the program to have your ideas implemented. The picture below shows an example of a user defined function inserted in the portfolio module of Zonar. The only action the user has to take is to write the actual formula and give the column a friendly name and Zonar will smoothly take care of the rest; and make it available to all users in the organization.

Example of a portfolio, click on the picture to see actual size

Almost all values in the portfolio part can be shown in either 2D or 3D graphs. Illustrated In the example below is Vega as a function of change in the beta adjusted spot price.

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