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Financial Engineering Associates, Inc.
DerivaTool is an integrated financial Monte Carlo application forsimulation of derivative securities. It is used to analyze new financialproducts, evaluate complex embedded options, perform structured financeresearch, benchmark theoretical model values, create new financialinstruments, and manage risk. DerivaTool provides a user-configurablemethod for developing and describing new derivative products and is acomplete application which transforms user input regarding current marketinformation, asset price history, a "scenario," and simulation controldata, into valuation and risk management output information. Examples ofderivative instruments that can be analyzed using DerivaTool include:average-price options with few, irregular averaging dates; ladderoptions; knockout options on average-price; long-dated equity options;swaptions; callable, putable bonds; and time-varying strike-priceoptions. Typical users are banks, corporate treasuries, traders,researchers, consultants, and auditors.
Language: C, C++
Source Avail: No
Product Special Handling: None.
Operating Systems: Solaris Sparc 1.0,2.0,2.1,2.2
Financial Engineering Associates, Inc.
2484 Shattuck Ave Ste 225
Berkeley, CA 94704
USA
Phone: (510) 548-6200
Fax: (510) 548-0332