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Yield Curve Shifts - Portfolio performance:
Global economy is currently facing a dichotomous divergence
amongst rational forecasters. The persistent downward trends
(see my notes in MarketViews section)
seemingly outweigh the rare bright sparks.
However, we cannot rule out either eventuality with precise conviction,
because none of us have the power to look into future.
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Therefore, I have developed this little tool that will help immensely
to quantify the economic impacts of curve-shift projections on a given
Portfolio. Pick the number of scenarios (max 6) and build yield-projections using
one of the following three methods:
1. Use custom curve-shifts built into the model.
2. Translate your curve-shift views into projected shift-pattern(s).
3. Randomize curve shifts with an option to preset selected nodal points.
Access restricted to registered users only.
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Callable/Putable Bond Pricing Model:
Trading of Callables enables every investor, big or small, to take a strategic view at forward Yields and Volatilities.
While Monte-Carlo based pricing-models and non-recombining trees involve esoteric algorithms, a binomial model almost always gets a comparably robust solution.
This Beta version encapsulates most real-life nuances of a typical callable/putable bond structure.
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What's Next... ** COMING SOON **
1. Heat-Map of Vol Grid: Quadrant based analysis to seek optimal Vol hedging Strategies.
2. Inter-sectoral Cross spread analytics - Spread Trading exploited to the Max.
3. CDS, Correlation and N-th to Default Basket Pricing.
4. Liquid Markets - Daily Morning OAS grid and Rich-Cheap analysis.
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Modeling Price-behaviour of Path based Bermudan/American style options has always been a
challenge to analysts. While valuation assumptions have to be rigorous and certainly beyond the confines of
traditional short-rate equilibrium models, these market-models come with the price of intense numeric
iterations. Therefore, access to these interactive models is restricted to registered users only.
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Readers with Graduate degree in related Finance discipline may find it easier to
grasp these concepts without help. I plan to include a short Glossary of Terms,
in the near future. Most importantly, note that investing in Financial
Derivatives entails significant risks. This site does Not provide counseling and
you should talk to your Financial Advisor, before making investment decisions.
Please Read the Legal Disclaimer.
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