EQ - Equity

Advanced Equity coverage includes exotic and vanilla options (i.e. Asian, cliquets and multi-asset), total return swaps and volatility instruments.  uses local and stochastic volatility models as well as log-normal and normal models.

Whether you are a trader, risk manager, corporate financial analyst, treasurer or auditor, the FINCAD Analytics Suite 2009 for Excel option models provide the functions you need to manage your equity portfolio risk including warrants, employee stock options and index options. It gives you the power to do all of your analysis on a spreadsheet with the option of using our professionally designed and developed workbook solutions.

Highlights of Equity Coverage:

Download a more detailed list of Equity coverage (524KB PDF)

Options - Exotic and Vanilla

Strikes: average, double average and deferred
Barriers: single, double, and Quanto
Binary: single barrier, digital and binary spread
Multi-asset: baskets, cliquets, Napoleon
Chooser
Compound
Lookback
Power & quotient
Quanto
Spread 
Altiplano
Asian
Cliquet

Option Styles

American

European

Bermudan

Asian

 

Models & Methods

Local Volatility

Stochastic Volatility

  • SABR
  • Heston

Black-Scholes

Binomial

Monte Carlo

Other Equity Derivatives

Forwards and futures

Swaps, swaptions

Employee stock option (ESO)

Warrants - various structures

Convertible bonds

Total return swaps

Utilities

Implied calculations

  • Volatility, strike, rates, etc.
  • Goal seek on any parameter

Implied  

Greeks

Cashflow functions

Ability to

  • Implement single rates or curves
  • Take in discreet dividends or yield

Graph the volatility surface (smile, skew)

Dividend to yield conversion

Volatility Derivatives

Variance Swaps

Volatility Swaps

Variance Options

Corridor Variance Swap

Conditional Variance Swap