Financial derivatives are fascinating but complex instruments. To get a
better understanding of their characteristics and how they behave in the real market, this application visualizes
the sensitivity of the value of a derivative against parameter as
underlying price, volatilty, time decay or interest rate.
The very interesting insights you get if you analyse portfolio including
several different derivatives with or without underlying. What happens with the option price, with the delta or vega when the time passes or the volatilty increases?
There are unlimited ways to create strategies, but only a few are making sense and have prospect to success. In the context of a concret market situation DeriLab may help illustrating which are expecting to work successfully and -the probably more important- which are not. In this sense DeriLab is revealing the prospects and the limits of any strategy.
As financial instruments this applications is able to work with any number and any combination of securities. A portfolio may contain vanilla options, exotic options, futures, stocks, indexes or fixed income securities.
Screenshots of DeriLab©
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Examples of printed portfolios:
- CalendarSpread
- DiagonalSpread
Strategies
This application is able to analyse any options strategy. Here a list of the strategies that you find all over the internet and in the most popular books:- Basic strategies:
Buying and shorting shares, calls and puts. - Income strategies:
Covered call, naked put, bull put spread, bear call spread, long iron butterfly, long iron condor, calendar call, diagonal call... - Vertical spreads:
Bull call spread, bull put spread, bear call spread, bear put spread, ladder... - Volatility strategies:
Straddle, strangle, gut, short butterfly, short condor - Sideway strategies:
Short straddle, short strangle, short gut, long butterfly, long condor... - Leveraged strategies:
Call ratio backspread, put ratio backspread, ratio spread... - Synthetic strategies:
Collar, synthetic call, synthetic put, synthetic straddle, synthetic futures, combos, box spread...
History
I started to develop this applicaction when I was in the university. It helped me a lot to understand the behaviour of financial options because it visualizes the portfolio price, delta, vega or gamma of any spread or combination of options. One can play around with all possible parameters.Technically, the focus has always been to create a framework as flexible as possible and therefore powerful for future adaptions to new ideas. The application is build entirely with Java.
It includes no paid components, but lot of free and open source libraries.