UNIVOPT is regarded by many dealers and risk managers as the industry standard option pricing and risk management system. Amongst the new features are 6 new models. The options add-in calculates option prices and implied volatilities using the Black, Black-Scholes, Garman-Kolhagen, Cox-Rubinstein (binomial) models, as well as proprietary models for normally distributed underlying instruments. UNIVOPT handles European and American style options on bonds, commodities, currencies, futures (including 3M interest rate futures) and shares (including constant dividend streams and discrete dividend payments). It also calculates sensitivities, such as delta, gamma, fugit, kappa (vega), rho, theta and theta2. UNIVOPT also contains a warrant pricing function which takes into account dilution, (which is very useful when analysing warrants about to be issued by companies on their own stock).

UNIVOPT enables the production of pricing matrices, risk return profiles and implied volatility analysis for either individual or portfolios of options.

Major enhancements include:

1. Ability to pass a whole yield curve and volatility curve.

2. 4 new option pricing models for normally distributed underlying instruments. These models are useful for a large number of contracts in which the underlying does not follow a log normal distribution. It can therefore handle contracts where the underlying can go negative.

3. 2 new option pricing models for options on 3M interest rate futures.

4. Warrant pricing function taking into account dilution. This is very useful when analysing warrants about to be issued by companies on their own stock.

5. New Implied strike function (implies the strike of an option given a desired option price). This is very useful when writing OTC options.

6. New interest rate risk measurements (e.g. Delta Decay and Delta Decay 2).

7. The maximum number of steps in the binomial tree has been increased from 600 to 10,000. Different options on one spreadsheet can be valued using different number of steps.

8. Tolerance of the Implied Volatility function can be specified in the call to the Implied Volatility function.

9. Dividends can be percentage, absolute or present valued.

10. Dates can be passed as actual dates or number of years.

11. More interest rate conventions handled.

12. Settlement delays and interest rate conventions handled automatically in the option pricing and risk management function calls.

UNIVEXOT is regarded by many dealers and risk managers as the industry standard option pricing and risk management system.

Major enhancements include :

1. Additional exotics handled, including Windowed Barriers and Windowed one and two touch options, and "Asset or Nothing" options.

2. Can be linked to the module "Analytical extension to UNIVGARCH" to provide enhanced accuracy.

3. The maximum number of steps in the binomial tree has been increased from 300 to 5,000. Different options on one spreadsheet can be valued using different number of steps.

4. Tolerance of the Implied Volatility function can be specified in the call to the Implied Volatility function.
   

5. Dividends can be percentage, absolute or present valued.

6. Dates can be passed as actual dates or number of years.

7. More interest rate conventions handled.

8. Settlement delays and interest rate conventions handled automatically in the option pricing and risk management function calls.

This module implements the latest research papers on the analytical pricing of exotic options (including continuous and discrete barriers and continuous and discrete lookbacks).  These analytical models are accessible by simply changing the model number when using UNIVEXOT.  This enables numerical, Monte Carlo and analytical option pricing and risk management.

UNIVGARCH implements various Garch models (including N-GARCH, E-GARCH and O-GARCH). Proprietary optimisation techniques implemented under 32-bit Windows are utilised which finally enable the practical use of Garch models in a trading environment. The Garch model increases the accuracy in the pricing of standard and exotic options (including Windowed Barriers and Windowed one and two touch options) where the underlying does not follow a perfect lognormal distribution (e.g. it has fat tails or non-standard Kurtosis). The Garch model has been proven more accurate than "Black-Scholes" type models, especially for out of the money options which are close to maturity.

The Garch model is considered an effective volatility forecaster. UNIVGARCH thus enables the forecast of the forward volatility for any time period and this volatility forecast can also be used in a standard option pricing model, increasing the accuracy of the standard option pricing model.

Simulations can be carried out with variable step length, including the handling of discrete dividends and a term structure of interest rates. These substantially increase the accuracy and types of options which can be analysed. Advanced variance reduction techniques are also implemented to substantially increase the accuracy/speed ratio.

UNIVGARCH can also be used for the Monte-Carlo pricing of standard and exotic options assuming a constant volatility, therefore increasing the scope of usage to situations where a standard log-normal distribution is desirable.

The add-in is fully callable from Excel, Visual Basic, C, C++, Access etc.

Options handled by UNIVGARCH include :

Down and in	Windowed Down and In
Up and in	Windowed Up and in
Down and out	Windowed Down and out
Up and out	Windowed Up and out
Lookback	Windowed Lookback
Compound
Euro Digital	Asset or Nothing
Up one Touch	Windowed Up one Touch
Down one Touch	Windowed Down one Touch
Two Touch	Windowed Two Touch
Double Barrier in	Windowed Double Barrier in
Double Barrier out	Windowed Double Barrier out

This add-in was previously called UNIVZERO - Universal Zero-curve Add-in. The name has been changed to Universal Interpolating Add-in in order to reflect that the major use of the add-in as an interpolating add-in. It also emphasises that the add-in can do interpolation on any curve (and not just zero-curves). The name change also emphasises that this add-in does not generate zero-curves (since this is done by UNIVSWAP - Universal Swap Add-in).

The major new enhancements is a new two dimensional lookup function. This is very useful for looking up volatilities. This function "=UIA_TWO_WAY_LOOKUP( )" is illustrated in sample sheet UIAEXAMP.XLS.

Two major areas of use are :

a) Swaption volatilities. These are commonly quoted on a volatility grid, e.g. : Underlying Term (years) 3 4 5 6 3 11.53% 10.66% 9.92% 9.25% Option Term 4 10.60% 9.86% 9.18% 8.55% 5 9.86% 9.17% 8.53% 8.01% 6 9.22% 8.56% 8.04% 7.55% 7 8.66% 8.13% 7.63% 7.15% Based on the above grid, the add-in calculates a volatility of 10.02% for a 4.3 year option on a swap which, on exercise, would have a remaining life of 3.5 years.

b) Volatility smiles (or skew). Since the volatility smile is a function of both time to maturity and the level of In or out of the money, a two dimensional table is needed : Strike Price less than ATM ATM Strike Price greater than ATM -400 -250 -150 -50 0 50 150 250 400 20-Feb-98 4.00% 2.50% 1.50% 0.60% 0.00% -0.30% -0.75% -1.25% -2.00% 20-Mar-98 3.50% 2.30% 1.40% 0.60% 0.00% -0.30% -0.70% -1.15% -1.75% 17-Apr-98 3.00% 2.10% 1.30% 0.55% 0.00% -0.28% -0.65% -1.05% -1.50% 15-May-98 2.50% 1.90% 1.20% 0.50% 0.00% -0.25% -0.60% -0.95% -1.25% ATM = At the money (where the strike price is the same as the underlying). In the above matrix, the volatility is based around 0% to emphasis the "smile". Since the "smile" is added to the base market volatility, the grid does not have to be altered for a general increase in volatility.

Major enhancements include :

1. New function "=UYA_FORWARD_PRICE( )" for calculating the forward prices of a bond based on a Repo rate (even over coupon days and holidays). This is essential for accurate analysis of short term options on bonds since most dealers base use the forward price as the basis of their calculation. Once the forward price of the bond is calculated, the option on the bond is then calculated using our UNIVOPT - Universal Options Add-in by setting the underlying to be based on a "future" and entering the price volatility of the bond.

2. Since yield volatilities are commonly quoted for bonds (and not price volatility), UNIVYLD now calculates the factor to convert from yield volatility to price volatility for options on bonds. The "Yield Vol --> Px Vol Factor" is calculated by requesting return type 28 from the yield add-in.
   
   These are illustrated in the sample spreadsheet "UYAEXAMP.XLS" (sheet YC_UNIVERSAL2 and YC_STRAIGHT). The appendix of the options manual (MANUOA.DOC) has further information on options on bonds.

3. New function "=UYA_TRUE_YIELD( )" for calculating the "True Yield" of a bond. This is the yield adjusted for cash flows on weekends and holidays. It is frequently used in the UK Gilt market and internally by many practitioners to assess the impact of holidays on the standard quoted yields.
   
   This function is illustrated in the sample spreadsheet "UYAEXAMP.XLS" (sheet YC_UNIVERSAL2 and YC_STRAIGHT).

4. Calculation of US Treasury Equivalent yields for all bonds. This is slightly different than the calculation of semi-annual yield since it also takes into account the different accrued conventions in the US market. The US Treasury Equivalent yield is calculated by requesting return type 30 from the yield add-in.

5. The cash flow analyser has been enhanced to simplify the link to the swap add-in's cash flow generator. Now the cash flow dates can remain as Excel dates (i.e. they need not be converted to years) and the Cash flow dates and time can be one array (previously they had to be passed as two arrays).

This is used by major traders and fund managers world-wide to price, hedge and monitor their derivative positions. The system marks to market the portfolio and provides a risk analysis for parallel or nonparallel yield curve shifts. It also calculates the hedging position to eliminate the sensitivity to the yield curve. Major enhancements includes a smoother blend between deposits, futures, discount bills, FRA, bond and swap curves. Another major enhancement is the automatic calculation of the convexity bias for interest rate futures when building each currency's zero curve.

UNIVSWAP - Universal Swap Add-in is an Inclusive package of :

UNIVOPT - Universal Options Add-in
UNIVEXOT - Universal Exotics Add-in
UNIVYLD - Universal Yield Add-in
UNIVINT - Universal Interpolating Add-in
UNIVSWAP - Universal Swap Add-in (module)

CLICK HERE to see our latest Price List.

The Universal Convertibles Add-in handles portfolios of Convertible Bonds with structured calls, puts and conversion schedules, non-stationery share/bond correlation, time dependent credit spreads, discrete and continuous dividends, cross-currency and multiple conversion ratio resets. The add-in can be linked with most real-time feeds to provide a dynamic analytical environment which continuously marks to market multi-currency portfolios, and thereby improves P&L and Risk monitoring.

The Universal Convertibles Add-in uses a multi-factor trinomial No-Arbitrage lattice tree (with mean reversion), which we believe is the best, fastest, and most accurate advanced approach for Convertible Bonds.

The add-in software is implemented as function calls in a Dynamic Link Library (DLL), thus assisting in the ease of use and integration into the user’s analytical environment. The add-in can therefore be called from Excel, Access, Visual Basic, C, C++, Fortran etc. This object-orientated building-block approach provides unequalled speed, cost-effectiveness and flexibility.

For increased accuracy in the construction of the interest rate term structure curve and for calculation of sensitivities caused by non-parallel yield curve shifts, we recommend that the Universal Convertibles Add-in be used with our Universal Swap Add-in.

Dr Mamdouh Barakat, Managing Director, says "We believe that our new convertibles add-in sets a new standard for accuracy, speed AND price which other systems will find hard to beat. A Convertible Bond is a combination of both a bond and an equity option which gives the holder the right to exchange the Convertible Bond for shares. Convertible Bonds are very popular with investors and fund managers since they have the certainty of being a bond together with the potential upside from the equity component. Since certain fund managers are prevented from holding equity options, Convertible Bonds can provide their only means to have a positive exposure to the stock market. The accurate analysis of Convertible Bonds is a very complex area. This is one of the reasons why there are very few software packages available for analysing Convertible Bonds. In our new convertibles add-in, we have combined the latest techniques and models from both the fixed income and equity derivative world."

This is an optional add-in for users of our UNIVSWAP - Universal Swap Add-in who require the pricing and risk management of Constant Maturity Swaps (CMS) and/or Bermudan and American style options on Bonds or Swaptions. The approach used is based on the extended Vasicek (Hull-White) models for implementation of a No-Arbitrage term structure model for interest rates (with mean reversion), and utilises a balanced trinomial tree for increased accuracy. One application would be the accurate valuation of the imbedded call or puts in bonds. Another application is the valuation of basis swaps (e.g. 10 year swap versus 6 month LIBOR).

This is an optional module for Excel users of our Universal Swap Add-in who require the analysis of the arbitrage opportunities between interest rate futures, FRAs and Swaps. The module is designed to be used by traders in a fast moving market. Therefore ease of use is maximised. Grids are calculated and displayed for forward futures, FRAs and Swaps to enable the quick comparison of the arbitrage opportunity between the markets. Trades are entered and the positions are continuously marked to market.

The MBRM Multi Asset Monte Carlo Analyser generates simulations in order to analyse complex multi asset dependent options and securities portfolios (e.g. for compliance or regulatory risk management) in a Riskmetrics compliant methodology.Latest version  includes a number of new features including a graphical representation of the simulation results, the ability to easily alter the time horizon, and an increase in calculation speed.

New features include trade entry, risk analysis using a 3D graph, P&L analysis (broken down per trade) and implied volatility and smile analysis from market prices.