BondManager and NillaHedge each automatically organize your closed positions into folders, and open positions
into groups organized by symbol (in NillaHegde, also by issue type). Both products include:
PositionsTranscripts, a PortfolioNavigator, and a RateSensitivityExplorer.
provide a convenient transcript of gains and losses for open positions or those closed during a given calendar year.
All transcripts report annualized yields for each position and the weighted annualized yield of the portfolio.
groups your open positions by symbol. In NillaHedge, it builds another level of hierarchy around stocks and
allows you to explore the effects that a change in yield will have on pro forma portfolio value.
- BondManager manages a portfolio of bonds. Assessment of bond
assume that bonds have no callable features. The BondAnalyzer reports duration, convexity, present value of par and coupons.
Modified duration and convexity are used to forecast bond value given its current market price and a
pro forma change in yield.
- NillaHedge manages a portfolio of stocks and vanilla options,
incorporating additional analytical capabilities including:
uses Black-Scholes theory to compute a selected option's sensitivity to the risk free rate,
the passage of time, and the underlying stock's price, dividends, and volatility. The
OptionAnalyzer also computes the elasticity of option price with respect to the underlying stock
price, the probability that the option will close in the money, and the implied volatility of the
underlying given the option's current market price.
visually presents the profit profile of calendar/ratio option spreads and hedges with respect to the
underlying stock price. Depending on processor speed, a plot can be generated about three times per
second, so you can visually review the profit profiles of a large portion of the sensible two option
spreads in a few seconds by scrolling through entries in the current option selector. To reduce
the complexity of your decision, you can use StrategyExplorer to plan an investment strategy.
Once you settle on a buy/sell strategy, you can refine it by modifying the ratios between
options and the underlying stock, and exploring the effect alternate options will have.
depicts how the passage of time will affect the value of your option portfolio and/or (up to four) selected
depicts how estimating underlying stock volatility will affect the value of your option portfolio and/or
(up to four) selected options.
StrategyExplorer and YieldCurveFitter are
standalone tools that can be used independently or in conjunction with BondManager and NillaHedge. YieldCurveFitter
writes the spot rate to the registry every time you change a rate value and NillaHedge reads that value each time
it opens a tool (dialog), so YieldCurveFitter affects NillaHedge directly. StrategyExplorer is
is a planning tool for constructing profitable option spreads and stock hedging strategies. It plots
intrinsic option values and the resulting profit profile for any ratio combination of a stock and up
to four options drawn on that stock. Thirty-six popular strategies are predefined, including synthetics,
straddles, strangles, butterflies, and condors; plus covered, protective, bracketed, and arbitrage
hedges against an underlying stock position. All options are assumed to expire on the same day.
is a simple U.S. T-bill yield curve fitting tool with three potential uses. To extrapolate back
from the three and six month T-bill rates to determine the spot rate of interest; to interpolate between
standard T-bill term rates to assess the 'risk-free rate' at other common maturities; and more generally to
map other rate structures onto the T-bill maturities to assess the risk premium associated with the other