Portfolio Managers

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. PositionsTranscripts 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. PortfolioNavigator groups your open positions by symbol. In NillaHedge, it builds another level of hierarchy around stocks and options. RateSensitivityExplorer 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 value in BondAnalyzer, PortfolioNavigator, RateSensitivityExplorer, and PositionsTranscripts 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:
  • OptionAnalyzer 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.
  • HedgeExplorer 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.
  • TimeDecayExplorer depicts how the passage of time will affect the value of your option portfolio and/or (up to four) selected options.
  • VolatilityValueExplorer depicts how estimating underlying stock volatility will affect the value of your option portfolio and/or (up to four) selected options.

Support Tools

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 fully independent.

• StrategyExplorer is a planning tool for constucting 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 three options drawn upon that stock. Twenty popular strategies are predefined, including synthetics, straddles, strangles, butterflies, covered, protective, bracketed, and arbitrage spreads. All options are assumed to expire on the same day.


• YieldCurveFitter 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 assets.