Carry out detailed multi-stage calculations for such types of data as credit derivatives and interest rate derivatives, as well as for options on stocks, indices, currencies, prices, implied volatilities and futures by inputting basic data and applying automated filters.
DerivaGem is Excel-based.
Main features:
- It now carries out calculations for credit derivatives and interest rate derivatives, as well as for options on stocks, indices, currencies, and futures
- It calculates prices, implied volatilities, and the Greeks
- It implements normal and lognormal interest rate models to value American-style interest rate options
- It displays charts showing the relationships between variables
- It displays the binomial/trinomial trees used for valuation
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