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Derivatives Expert III

Published September 13, 2002

Financial Instrument Analysis

September 13, 2002–Derivatives Expert has been updated for Mathematica 4.2. The suite of functions in this application forms a high-end financial analysis and engineering tool for banks, asset management companies, and financial exchanges.

Derivatives Expert III, the updated version, delivers an uninterrupted work process beginning with flexible data retrieval from an SQL database, with XML, or through JDBC drivers. This data can then be manipulated, analyzed, visualized, or animated. Lastly, it can be rendered to various output formats including XML, HTML, CSV, SVG, EPS, BMP, GIF, and JPEG.

Hundreds of new symbols, functions, arguments, and options enable users to do any calculation from simple to complex with respect to most exchange and over-the-counter traded securities and derivatives. For example, Derivatives Expert III offers specialized functions for floaters, forwards, and exotics. Additionally, users are now able to include accrued interest with all relevant financial instruments such as bonds, mortgage-backed obligations, and swaps.

Updated objects for swaps pricing and additional binomial option pricing models that take new dividend specifications are available with Derivatives Expert III. Users will find fast Monte Carlo functionality for simulation of prices and price paths that have equidistant or non-equidistant times of trading. Financial instrument pricing functions based on discounted cash flow can now use infinite-precision numbers as well as faster machine-precision numbers. Updated pricing models for arithmetic average Asian options such as forward-start options are also available.

Extensive online documentation is included with Derivatives Expert III. Background material, exact function descriptions and definitions, a user’s guide, a reference manual, and detailed programming examples will all help new users to get started.

Derivatives Expert III offers complete simultaneous connections and high-performance and multiplatform database integration to Oracle, DB2, and Microsoft SQL Server and coordinates with key network systems such as webMathematica, IBM WebSphere, and Oracle Application Server.

Derivatives Expert III requires Mathematica 4 or later or webMathematica and is available for Windows 95/98/Me/NT/2000/XP, Mac OS, Mac OS X, Linux, and Unix platforms.

Additional information is available.