OptionMatrix: The Advanced Derivatives
Calculator
View Theoretical Option
Chains
A real-time generalized financial derivatives calculator supporting 136+
theoretical models from open source libraries. Matrices of prices are
created with iterating strikes and/or months. A strike control system
can produce almost any strike. A generalized date engine
can calculate re-occurring distances to any industry used expiration
into the future. Timing is accurate to one second and pricing is
re-calculated every second. 9 choices for computing the cumulative
normal distribution. All inputs can
be changed real-time with spin buttons, combo boxes, scale buttons and
calendar selection.
Models Supported:
Black-Scholes, Merton-73, Black-76, Roll Geske Whaley, Garman
Kohlhagen,
Jump Diffusion, Quanto, Vasicek Bond Option, Turnbull Wakeman Asian,
Time Switch Option, Look Barrier, Partial Time Barrier, Gap Option,
Extreme Spread Option, Simple Chooser, ComplexChooser, Partial Fixed
Lookback,
Executive,
Cash or Nothing, Extendible Writer, Options On Options, BAW American
Approx,
BS American Approx, Asset or Nothing, Bisection, BAW Bisection, BS
Bisection,
Gfrench, Gcarry, Swap Option, Complex Chooser, Super Share,
Equity Linked FXO, Spread Approximation, Binary Barrier,
Floating Strike Lookback, Options on the Max Min, Partial Float
Lookback,
Fixed Strike Lookback, Double Barrier, Standard Barrier, Soft Barrier,
Levy Asian, Geometric Average Rate Option, Forward Start Option,
American
Perpetual, American Trinomial, American Binomial, Euro Binomial, Bond
Zero BS, Bond American Binomial, Currency American Binomial, Currency
Euro, Warrant Adjusted BS, Monte Carlo Models, Implied Newton,
bisection, NewtonRaphson, Rendleman Bartter, VasicekBondPrice,
BondZeroVasicek, VasicekBondOption, TakeoverFXoption,
AmericanExchangeOption, DiscreteAdjustedBarrier,
EuropeanExchangeOption, MiltersenSchwartz, Heston, Bermudan, AmPutApproxGeskeJohn, PartialTimeTwoAssetBarrier, TwoAssetBarrier,
TwoAssetCashOrNothing, TwoAssetCorrelation, ExchangeExchangeOption,
Convertible Bond, CRRBinominal, 3D-Binominal, Trinominal Tree, Finite
Diff Explicit and more
Screen shots. Click to
enlarge:
View DOS version
Linux / Unix source download Version 1.2c :
optionmatrix.tar.gz
Gtk+ and curses versions.
GNU General Public License Version 3.
After the download do the following from the Linux / Unix command line
to
build:
tar xfz *.gz; cd optionmatrix-1.2b; ./configure;
make; cd src
gtkoptionmatrix is the Gtk+ executable, optionmatrix is the
curses executable
To install do the following:
sudo make install
Windows & DOS Installer Version 1.2c :
installoptionmatrix.exe
See installation in start menu and on desktop.
OptionMatrix uses open source models from:
Anthony Bradford
Seth Pinsky
Bjorn Augestad, Meta Systems AS (metaoptions-0.0.4)
Bernt Arne Oedegaard (Financial
Numerical Recipes in C++)
and others.
Coming soon:
OptionMatrix: More features, more models, Mac version.
Older Software
