April Feature of the Month

New Forwards and Rates Management Module

The Forwards and Rates Manager allows users to define the forward underlying curve for the products they are trading and then set the parameters describing how the forward curve will change as the front month future moves. This allows the forward underlying curve to move dynamically and significantly reduces the manual adjustments previously necessary to manage the forward underlyings used to price each month’s options.

The Forwards and Rates Manager allows the user to choose how they want to input interest rates into the model. There is a choice to use real-time rates or static rates that are input manually. This will reduce the potential of bad quotes as inputs into pricing but will require periodic updating. For equity and equity index options there is also a dividend input column to allow for a theoretical value calculation of the roll between months. Again, this requires manual input but can be dynamically linked to an outside source.

Lastly, the user may also simply enter the static rolls they desire for each contract relative to the front month future and have this dynamically update. The Forwards and Rates Manager allows for supreme command of the variables necessary to update and manage the forward underlying term structure.

Contact us at (919) 913-0850 to see a live demo of this feature.

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